Quotation Hörmann, Wolfgang, Leydold, Josef. 2009. Sampling from Linear Multivariate Densities. Research Report Series, Institute for Statistics and Mathematics, Report 111.


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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 Working/discussion paper, preprint
Language English
Title Sampling from Linear Multivariate Densities
Title of whole publication Research Report Series, Institute for Statistics and Mathematics, Report 111
Year 2009
URL http://epub.wu.ac.at/3192/

Associations

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