Generating gamma variates by a modified rejection technique

  title={Generating gamma variates by a modified rejection technique},
  author={J. Ahrens and U. Dieter},
  journal={Commun. ACM},
  • J. Ahrens, U. Dieter
  • Published 1982
  • Mathematics, Computer Science
  • Commun. ACM
  • A suitable square root transformation of a gamma random variable with mean a ≥ 1 yields a probability density close to the standard normal density. A modification of the rejection technique then begins by sampling from the normal distribution, being able to accept and transform the initial normal observation quickly at least 85 percent of the time (95 percent if a ≥ 4). When used with efficient subroutines for sampling from the normal and exponential distributions, the resulting accurate method… CONTINUE READING
    86 Citations

    Figures, Tables, and Topics from this paper

    Computer Generation of Poisson Deviates from Modified Normal Distributions
    • 100
    Generating gamma variates
    • 22
    A simple approximation for the simulation of continuous random variables
    • 2
    Generating random numbers from a distribution specified by its Laplace transform
    • M. Ridout
    • Mathematics, Computer Science
    • Stat. Comput.
    • 2009
    • 50
    • PDF
    Random variate generation for exponentially and polynomially tilted stable distributions
    • 91
    • PDF
    Simulating theta random variates
    • 8
    • PDF
    Two New Ratio-of-Uniforms Gamma Random Number Generators
    • PDF


    Sampling from the gamma distribution on a computer
    • 44
    • Highly Influential
    Some Simple Gamma Variate Generators
    • 73
    • Highly Influential
    The squeeze method for generating gamma variates
    • 48
    • Highly Influential
    • PDF
    The Generation of Gamma Variables with Non‐Integral Shape Parameter
    • 95
    • Highly Influential
    Optimal acceptance-rejection envelopes for sampling from various distributions
    • Submitted to Math. Comput
    • 1981
    Various techniques used in connection with random digits
    • Collected Works,
    • 1963
    The Computer Generation of Beta, Gamma and Normal Random Variables
    • 93
    • Highly Influential