Abstract
We present a short algorithm for generating random variates with log-concave densityf onR and known mode in average number of operations independent off. Included in this class are the normal, gamma, Weibull, beta and exponential power (all with shape parameters at least 1), logistic, hyperbolic secant and extreme value distributions. The algorithm merely requires the presence of a uniform [0, 1] random number generator and a subprogram for computingf. It can be implemented in about 10 lines of FORTRAN code.
Zusammenfassung
Wir legen einen kurzen Algorithmus zur Erzeugung von Zufallsveränderlichen mit log-konkaver Dichtef aufR mit bekanntem Median-Wert vor. Die mittlere Anzahl der erforderlichen Operationen ist unabhängig vonf. Die log-konkaven Dichtefunktionen beschreiben u. a. die Normal-, Gamma-, Weibull-, Beta-, Potenzexponential- (alle mit Formparameter mindestens 1), Perks- und Extremwert-Verteilung.
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Devroye, L. A simple algorithm for generating random variates with a log-concave density. Computing 33, 247–257 (1984). https://doi.org/10.1007/BF02242271
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DOI: https://doi.org/10.1007/BF02242271