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

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.

UDC: 519.245
BBK: 22.193

Received: 27.10.2000
Revised: 16.11.2000

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