Generating gamma variates by a modified rejection technique

@article{Ahrens1982GeneratingGV,
  title={Generating gamma variates by a modified rejection technique},
  author={J. Ahrens and U. Dieter},
  journal={Commun. ACM},
  year={1982},
  volume={25},
  pages={47-54}
}
  • 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
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