Simulation of random variates with the Morgenstern distribution

Makhotkin Oleg A. ()
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Makhotkin Oleg A.: Institute of Computational Mathematics & Mathematical Geophysics, Russian Academy of Sciences, Lavrentieva Str. 6, Novosibirsk 630090, Russia

Monte Carlo Methods and Applications, 2015, vol. 21, issue 4, 325-328

Abstract: Five algorithms for the simulation of random vectors with the bivariate Morgenstern distribution are described and realized. The run-time efficiencies of these algorithms are estimated so that the fastest one is determined. It uses the presentation of the Morgenstern distribution density as the sum of the bilinear finite elements.

Keywords: Morgenstern distribution; simulation algorithms; computer-aided experiments (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1515/mcma-2015-0107

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