Computer generation of gamma random variables—II

ABSTRACT

A rejection method is proposed for generating gamma variates with nonintegral shape parameter &agr;, &agr; > 1. This method is similar to other methods given by Fishman, Wallace, and Tadikamalla and is faster than these methods for &agr; > 2. The core storage requirements and the programming effort for the proposed method are similar to those of Wallace's or Tadikamalla's methods. The computational times for the proposed method remain fairly constant for medium and large values of &agr; and are superior to times obtained by Arhens and Dieter's method for all values of &agr;. The proposed method is simpler than Ahrens and Dieter's method.

REFERENCES

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INDEX TERMS

Primary Classification:
  G. Mathematics of Computing

Additional Classification:
  F. Theory of Computation
  F.1 COMPUTATION BY ABSTRACT DEVICES
      F.1.2 Modes of Computation
          Subjects: Probabilistic computation

General Terms:
Design, Performance, Theory

Keywords:
computer methods, gamma variables, rejection method