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Descripción
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| The Gamma distribution is well-known and widely used in many signal processing and communications applications. In this letter, a simple and extremely efficient accept/reject algorithm is introduced for the generation of independent random variables from a Gamma distribution with any shape parameter $alpha \ge 1$. The proposed method uses another Gamma distribution with integer $alpha_p \le \alpha$, from which samples can be easily drawn, as proposal function. For this reason, the new technique attains a higher acceptance rate (AR) for $alpha \ge 3$ than all the methods currently available in the literature, with AR $\to$ 1 as $\alpha \to \infty$. | |
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Internacional
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Si |
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Entidad
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Arxiv |
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Lugar
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Cornell University Library |
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Páginas
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1 - 10 |
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Referencia/URL
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http://arxiv.org/abs/1304.3800 |
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Tipo de publicación
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Technical Report |