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Appendix to “Approximating Perpetuities”

Author

Listed:
  • Margarete Knape

    (J.W. Goethe-University)

  • Ralph Neininger

    (J.W. Goethe-University)

Abstract

An algorithm for perfect simulation from the unique solution of the distributional fixed point equation Y = d UY + U(1 − U) is constructed, where Y and U are independent and U is uniformly distributed on [0,1]. This distribution comes up as a limit distribution in the probabilistic analysis of the Quickselect algorithm. Our simulation algorithm is based on coupling from the past with a multigamma coupler. It has four lines of code.

Suggested Citation

  • Margarete Knape & Ralph Neininger, 2013. "Appendix to “Approximating Perpetuities”," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 707-712, September.
    • Handle: RePEc:spr:metcap:v:15:y:2013:i:3:d:10.1007_s11009-012-9299-2
    DOI: 10.1007/s11009-012-9299-2
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    References listed on IDEAS

    as
    1. Luc Devroye, 2001. "Simulating Perpetuities," Methodology and Computing in Applied Probability, Springer, vol. 3(1), pages 97-115, March.
    2. Devroye, Luc & Fawzi, Omar, 2010. "Simulating the Dickman distribution," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 242-247, February.
    Full references (including those not matched with items on IDEAS)

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