A Simple Gamma Random Number Generator for Arbitrary Shape Parameters
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- R. C. H. Cheng & G. M. Feast, 1979. "Some Simple Gamma Variate Generators," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 28(3), pages 290-295, November.
- R. C. H. Cheng, 1977. "The Generation of Gamma Variables with Non‐Integral Shape Parameter," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(1), pages 71-75, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chuanhai Liu & Ryan Martin & Nick Syring, 2017. "Efficient simulation from a gamma distribution with small shape parameter," Computational Statistics, Springer, vol. 32(4), pages 1767-1775, December.
- Devroye, Luc, 2021. "Random variate generation for the truncated negative gamma distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 51-56.
- Kenichiro Shiraya & Cong Wang & Akira Yamazaki, 2021. "A general control variate method for time-changed Lévy processes: An application to options pricing," CARF F-Series CARF-F-499, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Joshi, Mark S. & Zhu, Dan, 2016. "An exact method for the sensitivity analysis of systems simulated by rejection techniques," European Journal of Operational Research, Elsevier, vol. 254(3), pages 875-888.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:ebl:ecbull:v:3:y:2008:i:7:p:1-10 is not listed on IDEAS
- Pang, W. K. & Yang, Z. H. & Hou, S. H. & Leung, P. K., 2002. "Non-uniform random variate generation by the vertical strip method," European Journal of Operational Research, Elsevier, vol. 142(3), pages 595-609, November.
- Yang, Zhenhai & Pang, W.K. & Hou, S.H. & Leung, P.K., 2005. "On a combination method of VDR and patchwork for generating uniform random points on a unit sphere," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 23-36, July.
- Ferguson, R.S. & Sprevak, D., 1983. "A model for the simulation of a two MOS-transistor inverter," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 25(3), pages 249-258.
- Fernández, C. & Steel, M.F.J., 1996.
"On Bayesian Modelling of Fat Tails and Skewness,"
Discussion Paper
1996-58, Tilburg University, Center for Economic Research.
- Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Other publications TiSEM 0991c197-c9e8-4904-8119-3, Tilburg University, School of Economics and Management.
- Ong, Seng-Huat & Lee, Wen-Jau & Low, Yeh-Ching, 2020. "A general method of computing mixed Poisson probabilities by Monte Carlo sampling," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 170(C), pages 98-106.
More about this item
Keywords
Gamma Random Variable;JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-07c10012. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.