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Efficient generation of random variates via the ratio-of-uniforms method

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Abstract

Improvements to the conventional ratio-of-uniforms method for random variate generation are proposed. A generalized radio-of-uniforms method is introduced, and it is demonstrated that relocation of the required density via the mode can greatly improve the computational efficiency of the method. We describe a multivariate version of the basic method and summarize a general strategy for efficient ratio-of-uniforms generation. Illustrative examples are given.

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Authors and Affiliations

  1. Department of Mathematics, Imperial College, 180 Queen's Gate, SW7 2BZ, London, UK

    J. C. Wakefield & A. F. M. Smith

  2. Department of Statistics, University of Connecticut, 06268, Storrs, CT, USA

    A. E. Gelfand

Authors
  1. J. C. Wakefield
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  2. A. E. Gelfand
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  3. A. F. M. Smith
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Wakefield, J.C., Gelfand, A.E. & Smith, A.F.M. Efficient generation of random variates via the ratio-of-uniforms method. Stat Comput 1, 129–133 (1991). https://doi.org/10.1007/BF01889987

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  • DOI: https://doi.org/10.1007/BF01889987

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