A convenient way of generating gamma random variables using generalized exponential distribution

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• 作者：Debasis Kundu ; Rameshwar D. Gupta
• 关键词：Generalized exponential distribution ; Random number generator ; Gamma generator ; Ahrens and Dieter method ; Best method
• 刊名：Computational Statistics and Data Analysis
• 出版年：2007
• 期刊代码：19_01679473
• 类别：cp
• 出版时间：1 March 2007
• 卷：51
• 期：6
• 页码：2796-2802
• 文件大小：168 K

摘要

In this paper we propose a very convenient way to generate gamma random variables using generalized exponential distribution, when the shape parameter lies between 0 and 1. The new method is compared with the most popular Ahrens and Dieter method and the method proposed by Best. Like Ahrens and Dieter and Best methods our method also uses the acceptance–rejection principle. But it is observed that our method has greater acceptance proportion than Ahrens and Dieter or Best methods.