Abstract
An accurate acceptance-rejection algorithm is devised and tested. The procedure requires an average of less than 3 uniform deviates whenever the standard deviation σ of the distribution is at least 4, and this number decreases monotonically to 2.63 as σ→∞. Variable parameters are permitted, and no subroutines for sampling from other statistical distributions are needed.
Zusammenfassung
Ein exakter Verwerfungsalgorithmus wird konstruiert und ausgetestet. Das Verfahren erfordert durchschnittlich weniger als 3 gleichverteilte Zufallszahlen, solange die Standardabweichung σ der Verteilung mindestens 4 beträgt; diese Anzahl fällt monoton gegen 2,63 für σ→∞. Variable Parameter sind zugelassen; es werden keinerlei Unterprogramme für Stichproben von anderen statistischen Verteilungen benötigt.
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This research was supported by the Austrian Research Council (Fonds zur Förderung der wissenschaftlichen Forschung).
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Ahrens, J.H., Dieter, U. Sampling from binomial and poisson distributions: A method with bounded computation times. Computing 25, 193–208 (1980). https://doi.org/10.1007/BF02241999
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DOI: https://doi.org/10.1007/BF02241999