A Simple Gamma Random Number Generator for Arbitrary Shape Parameters

Hisashi Tanizaki ()
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Hisashi Tanizaki: Graduate School of Economics, Kobe University

Economics Bulletin, 2008, vol. 3, issue 7, pages 1-10

Abstract: This paper proposes an improved gamma random generator. In the past, a lot of gamma random number generators have been proposed, and depending on a shape parameter (say, alpha) they are roughly classified into two cases: (i) alpha lies on the interval (0,1) and (ii) alpha is greater than 1, where alpha=1 can be included in either case. In addition, Cheng and Feast (1980) extended the gamma random number generator in the case where alpha is greater than 1/n, where n denotes an arbitrary positive number. Taking n as a decreasing function of alpha, in this paper we propose a simple gamma random number generator with shape parameter alpha greater than zero. The proposed algorithm is very simple and shows quite good performance.

Keywords: Gamma Random Variable; Random Number Generator; Ratio-of-Uniforms.; Shape Parameter (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Date: 2008-01-27
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