A simple method for generating gamma variables.
We offer a procedure for generating a gamma variate as the cube of a suitably scaled normal variate. It is fast and simple, assuming one has a fast way to generate normal variables. In brief: generate a normal variate x and a uniform variate U until In (U)<0.5x2 + d - dv + dln(italic>v), then...
| Published in: | ACM transactions on mathematical software. 26, 3 (2000). |
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| Format: | Article |
| Language: | English |
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