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A gamma variate generator with shape parameter less than unity

Author

Listed:
  • Seiji Zenitani

    (Space Research Institute, Austrian Academy of Sciences)

Abstract

Algorithms for generating random numbers that follow a gamma distribution with shape parameter less than unity are proposed. Acceptance-rejection algorithms are developed,based on the generalized exponential distribution.The squeeze technique is applied to our method, and then piecewise envelope functions are further considered.The proposed methods are excellent in acceptance efficiency and promising in speed.

Suggested Citation

  • Seiji Zenitani, 2024. "A gamma variate generator with shape parameter less than unity," Economics Bulletin, AccessEcon, vol. 44(3), pages 1113-1122.
    • Handle: RePEc:ebl:ecbull:eb-24-00247
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    File URL: http://www.accessecon.com/Pubs/EB/2024/Volume44/EB-24-V44-I3-P86.pdf
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    More about this item

    Keywords

    Random number generation; gamma distribution; rejection sampling; Monte Carlo method;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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