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Author Wallace, N. D.
Source ACM Digital Library
Content type Text
Publisher Association for Computing Machinery (ACM)
File Format PDF
Language English
Subject Keyword Random numbers ♦ Simulation ♦ Probability distribution ♦ Gamma random variables
Abstract When the shape parameter, α, is integral, generating gamma random variables with a digital computer is straightforward. There is no simple method for generating gamma random variates with non-integral shape parameters. A common procedure is to approximately generate such random variables by use of the so-called probability switch method. Another procedure, which is exact, is due to Jöhnk. This paper presents a rejection method for exactly generating gamma random variables when α is greater than 1. The efficiency of the rejection method is shown to be better than the efficiency of Jöhnk's method. The paper concludes that when α is non-integral the following mix of procedures yields the best combination of accuracy and efficiency: (1) when α is less than 1, use Jöhnk's method; (2) when 1 is less than α and α is less than 5, use the rejection method; (3) when α is greater than 5, use the probability switch method.
Description Affiliation: Southern Illinois Univ. at Edwardsville, Edwardsville (Wallace, N. D.)
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 17
Issue Number 12
Page Count 5
Starting Page 691
Ending Page 695

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Source: ACM Digital Library