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A one-table method for sampling from continuous and discrete distributions

Eine Tafelmethode für Stichproben von stetigen und diskreten Verteilungen

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Abstract

A practical method for sampling from largely arbitrary distributionsF with density functionsf(x) or probabilitiesp k (in discrete cases) is developed. The high efficiency of the sampling routine is achieved by means of only one auxiliary table which contains a subdivision of the range ofF. Examples of continuous and discrete distributions demonstrate that the procedure is easy to apply and that its speed does not much depend on the particular target distributionF.

Zusammenfassung

Für die Erzeugung von Stichproben aus weitgehend beliebigen VerteilungenF mit Dichtefunktionenf(x) oder Wahrscheinlichkeitenp k (in diskreten Fällen) wird eine praxisnahe Methode entwickelt. Die hohe Effizienz der Stichprobengewinnung wird mittels einer einzigen Hilfstafel erreicht, die eine Unterteilung des Bereiches vonF enthält. Beispiele stetiger und diskreter Verteilungen zeigen, daß die Prozedur einfach zu handhaben ist und daß ihre Geschwindigkeit nicht sehr von der speziellen VerteilungF abhängt.

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Authors and Affiliations

  1. Mathematisches Seminar Universität Kiel, Ludewig-Meyn-Strasse 4, D-24098, Kiel, Germany

    J. H. Ahrens

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  1. J. H. Ahrens
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Additional information

This research was supported by the Austrian Research Council (Fonds zur Förderung der wissenschaftlichen Forschung Nr. P8257-PHY). The author would like to thank U. Dieter and a referee for helpful criticism.

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Ahrens, J.H. A one-table method for sampling from continuous and discrete distributions. Computing 54, 127–146 (1995). https://doi.org/10.1007/BF02238128

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  • DOI: https://doi.org/10.1007/BF02238128

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