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On random variate generation when only moments or Fourier coefficients are known

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  • Devroye, Luc

Abstract

We consider algorithms for generating random variates having a density, when only its Fourier coefficients or moments are known. We also study the expected time per random variate.

Suggested Citation

  • Devroye, Luc, 1989. "On random variate generation when only moments or Fourier coefficients are known," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 31(1), pages 71-89.
    • Handle: RePEc:eee:matcom:v:31:y:1989:i:1:p:71-89
    DOI: 10.1016/0378-4754(89)90054-2
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    1. Devroye, Luc, 1984. "Methods for generating random variates with Polya characteristic functions," Statistics & Probability Letters, Elsevier, vol. 2(5), pages 257-261, October.
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    Cited by:

    1. Luc Devroye, 2001. "Simulating Perpetuities," Methodology and Computing in Applied Probability, Springer, vol. 3(1), pages 97-115, March.
    2. Zhang, Zhehao, 2018. "Renewal sums under mixtures of exponentials," Applied Mathematics and Computation, Elsevier, vol. 337(C), pages 281-301.

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