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Comparison of random number generators via Fourier transform

Author

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  • Imai Junichi

    (Faculty of Science and Technology, Keio University, Yokohama, Japan)

Abstract

In this paper, we investigate simple yet practical schemes to generate random variates from the characteristic function of any continuous distribution. We discuss the generation of non-uniform random variates from a uniform random number generator. The inverse of the cumulative distribution function is derived from its characteristic function via the fast Fourier transform. We conduct several numerical experiments to assess the accuracy and efficiency of the schemes.

Suggested Citation

  • Imai Junichi, 2013. "Comparison of random number generators via Fourier transform," Monte Carlo Methods and Applications, De Gruyter, vol. 19(3), pages 237-259, October.
    • Handle: RePEc:bpj:mcmeap:v:19:y:2013:i:3:p:237-259:n:4
    DOI: 10.1515/mcma-2013-0012
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    References listed on IDEAS

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