Quotation Leydold, Josef, Hörmann, Wolfgang. 2009. Sampling from Linear Multivariate Densities. In: Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, Hrsg. Alexopoulos, C., Goldsman, D. and Wilson, J. R., 143-152. New York: Springer.


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Abstract

It is well known that the generation of random vectors with non-independent components is difficult. Nevertheless, we propose a new and very simple generation algorithm for multivariate linear densities over point-symmetric domains. Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate concave distributions.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Sampling from Linear Multivariate Densities
Title of whole publication Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman
Editor Alexopoulos, C., Goldsman, D. and Wilson, J. R.
Page from 143
Page to 152
Location New York
Publisher Springer
Year 2009

Associations

People
Leydold, Josef (Details)
External
Hörmann, Wolfgang
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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