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Distributions Where the Density Is Not Known Explicitly

  • Wolfgang Hörmann
  • Josef Leydold
  • Gerhard Derflinger
Part of the Statistics and Computing book series (SCO)

Abstract

There are situations in the practice of statistical research where continuous distributions are not characterized by their density or cumulative distribution function. Instead some other functions like the hazard rate (Sect. 9.1), the characteristic function (Sect. 9.4), or a sequence of Fourier coefficients (Sect. 9.3) are known. In such cases it can be very useful to have the possibility to sample directly from these distributions without computing the density, which is often very difficult and cumbersome in such situations. Luc Devroye (1981; 1984a; 1986c; 1986d; 1989) has introduced most of these methods. We give an overview and present the details of those algorithms that seem to be most useful in practice; among them a new automatic algorithm for distributions with increasing hazard rate.

Keywords

Hazard Rate Fourier Coefficient Series Method Moment Sequenee Rejection Algorithm 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Wolfgang Hörmann
    • 1
  • Josef Leydold
    • 2
  • Gerhard Derflinger
    • 2
  1. 1.Dept. of Industrial EngineeringBogazici UniversityIstanbulTurkey
  2. 2.Dept. for Applied Statistics & Data ProcessingUniversity of Economics and Business AdministrationWienAustria

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