Posts Tagged ‘ ratio-of-uniforms ’

Random variable generation (Pt 3 of 3)

January 12, 2011
Random variable generation (Pt 3 of 3)

Ratio-of-uniforms This post is based on chapter 1.4.3 of Advanced Markov Chain Monte Carlo.  Previous posts on this book can be found via the  AMCMC tag. The ratio-of-uniforms was initially developed by Kinderman and Monahan (1977) and can be used for generating random numbers from many standard distributions. Essentially we transform the random variable of

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