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Author Dieter, U. ♦ Ahrens, J. H.
Source ACM Digital Library
Content type Text
Publisher Association for Computing Machinery (ACM)
File Format PDF
Language English
Subject Keyword Gamma distribution ♦ Random numbers ♦ Acceptance—rejection method
Abstract A suitable square root transformation of a gamma random variable with mean a ≥ 1 yields a probability density close to the standard normal density. A modification of the rejection technique then begins by sampling from the normal distribution, being able to accept and transform the initial normal observation quickly at least 85 percent of the time (95 percent if a ≥ 4). When used with efficient subroutines for sampling from the normal and exponential distributions, the resulting accurate method is significantly faster than competing algorithms.
Description Affiliation: Technical Univ., Graz, Austria (Dieter, U.) || Univ. of Kiel, West Germany (Ahrens, J. H.)
Age Range 18 to 22 years ♦ above 22 year
Educational Use Research
Education Level UG and PG
Learning Resource Type Article
Publisher Date 2005-08-01
Publisher Place New York
Journal Communications of the ACM (CACM)
Volume Number 25
Issue Number 1
Page Count 8
Starting Page 47
Ending Page 54


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Source: ACM Digital Library