Variants of Transformed Density Rejection and Correlation Induction View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2002

AUTHORS

Josef Leydold , Erich Janka , Wolfgang Hörmann

ABSTRACT

In this paper we present some variants of transformed density rejection (TDR) that provide more flexibility (including the possibility to halve the expected number of uniform random numbers) at the expense of slightly higher memory requirements. Using a synchronized first stream of uniform variates and a second auxiliary stream (as suggested by Schmeiser and Kachitvichyanukul (1990)) TDR is well suited for correlation induction. Thus high positive and negative correlation between two streams of random variates with same or different distributions can be induced. More... »

PAGES

345-356

Book

TITLE

Monte Carlo and Quasi-Monte Carlo Methods 2000

ISBN

978-3-540-42718-6
978-3-642-56046-0

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-642-56046-0_23

DOI

http://dx.doi.org/10.1007/978-3-642-56046-0_23

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1022461741


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