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Sibirskii Zhurnal Vychislitel'noi Matematiki
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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2001, Volume 4, Number 4, Pages 373–388 (Mi sjvm410)  
An effective algorithm for the simulation of ID finite probability densities by using the two-side rejection method

О. A. Makhotkin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
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Abstract: An effective general algorithm for the simulation of one-dimensional probability densities defined on a finite interval is presented. The two-side rejection algorithm has been constructed. It uses piecewise linear interval approximations of structurally simple functions. The algorithm has been investigated in detail for the beta-distribution with non-negative parameters. A modification of the algorithm for infinite densities and infinite intervals is proposed.
Received: 27.10.2000
Revised: 16.11.2000
Bibliographic databases:
Document Type: Article
UDC: 519.245
BBC: 22.193
Language: Russian
Citation: О. A. Makhotkin, “An effective algorithm for the simulation of ID finite probability densities by using the two-side rejection method”, Sib. Zh. Vychisl. Mat., 4:4 (2001), 373–388
Citation in format AMSBIB
\Bibitem{Mak01}
\by О.~A.~Makhotkin
\paper An effective algorithm for the simulation of ID finite probability densities by using the two-side rejection method
\jour Sib. Zh. Vychisl. Mat.
\yr 2001
\vol 4
\issue 4
\pages 373--388
\mathnet{http://mi.mathnet.ru/sjvm410}
\zmath{https://zbmath.org/?q=an:0993.65016}
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