Comparison of random number generators via Fourier transform

被引：2

作者：

Imai, Junichi ^{[1
]}

机构：

[1] Keio Univ, Fac Sci & Technol, Yokohama, Kanagawa, Japan

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2013年 / 19卷 / 03期

基金：

日本学术振兴会;

关键词：

Monte Carlo method; Fourier transform; infinitely divisible distribution;

D O I：

10.1515/mcma-2013-0012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we investigate simple yet practical schemes to generate random variates from the characteristic function of any continuous distribution. We discuss the generation of non-uniform random variates from a uniform random number generator. The inverse of the cumulative distribution function is derived from its characteristic function via the fast Fourier transform. We conduct several numerical experiments to assess the accuracy and efficiency of the schemes.

引用

页码：237 / 259

页数：23

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