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Monte Carlo Generation of Order Statistics from General Distributions

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  • I. Gerontidis
  • R. L. Smith

Abstract

Several methods are considered for the generation of a complete set of order statistics from a specified distribution. In the case of the uniform distribution, several methods in the literature are collected and reviewed. Three methods appropriate for general distributions are then described, with the normal and beta distributions considered as examples. The recommended method, which appears to be new, consists of dividing the range of the distribution into a large number of intervals and applying rejection sampling on each interval.

Suggested Citation

  • I. Gerontidis & R. L. Smith, 1982. "Monte Carlo Generation of Order Statistics from General Distributions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 31(3), pages 238-243, November.
    • Handle: RePEc:bla:jorssc:v:31:y:1982:i:3:p:238-243
    DOI: 10.2307/2347997
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