Generating gamma variates

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Generating gamma variates

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ACM Transactions on Mathematical Software (TOMS) archive
Volume 14 , Issue 3 (September 1988) table of contents

Pages: 261 - 266

Year of Publication: 1988

ISSN:0098-3500

Author

Do Le Minh

Department of Management Science, California State University, Fullerton, CA

Publisher

ACM New York, NY, USA

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Downloads (6 Weeks): 4, Downloads (12 Months): 29, Citation Count: 4

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ABSTRACT

An algorithm to generate variates having a gamma distribution with shape parameter greater than one is presented in this paper. This algorithm is faster than Schmeiser and Lal's G4PE, which is the fastest one currently available, yet is equally simple and easy to implement.

REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	J. H. Ahrens , U. Dieter, Generating gamma variates by a modified rejection technique, Communications of the ACM, v.25 n.1, p.47-54, Jan. 1982 [doi>10.1145/358315.358390]
	2	J. H. Ahrens , K. D. Kohrt , U. Dieter, Algorithm 599: sampling from Gamma and Poisson distributions, ACM Transactions on Mathematical Software (TOMS), v.9 n.2, p.255-257, June 1983 [doi>10.1145/357456.357464]
	3	INTERNATIONAL MATHEMATICAL AND STATISTICAL LIBRARIES, INC. Edition 9 (1985). 6th ft., NBC Building, 7500 Bellaire Blvd., Houston, TX, 77036-5085.
	4	Linus Schrage, A More Portable Fortran Random Number Generator, ACM Transactions on Mathematical Software (TOMS), v.5 n.2, p.132-138, June 1979 [doi>10.1145/355826.355828]
	5	SCHMEISER, B. W., AND LAL, R. Squeeze methods for generating Gamma variates. JASA 75 (1980), 679-682.
	6	TADIKAMALLA, P. R., AND JOHNSON, M.E. A complete guide to Gamma variate generation. Am. J. Math. Manage. Sci. 1 (198I), 213-236.
	7	WICHMANN, n. G., AND HILL, I.D. An efficient and portable pseudo-random number generator. Appl. Stat. 31 (1982), 188-190.

CITED BY 4

	Tapas K. Sarkar, A composition-alias method for generating gamma variates with shape parameter greater than 1, ACM Transactions on Mathematical Software (TOMS), v.22 n.4, p.484-492, Dec. 1996
	George Marsaglia , Wai Wan Tsang, A simple method for generating gamma variables, ACM Transactions on Mathematical Software (TOMS), v.26 n.3, p.363-372, Sept. 2000
	George Marsaglia , Wai Wan Tsang, The Monty Python method for generating random variables, ACM Transactions on Mathematical Software (TOMS), v.24 n.3, p.341-350, Sept. 1998
	Ernst Stadlober , Heinz Zechner, The patchwork rejection technique for sampling from unimodal distributions, ACM Transactions on Modeling and Computer Simulation (TOMACS), v.9 n.1, p.59-80, Jan. 1999