Poisson Random Variate Generation

C. D. Kemp and Adrienne W. Kemp

Journal of the Royal Statistical Society Series C, 1991, vol. 40, issue 1, 143-158

Abstract: The paper examines the problem of generating Poisson random variates particularly when the parameter x may vary from call to call. A new algorithm based on a unidirectional search from the mode is proposed; the modal probability and modal cumulative probability, when required, are calculated by simple and rapid, yet extremely accurate, asymptotic approximations; a squeeze feature is incorporated. Timings for a Fortran 77 implementation show that the algorithm dominates the current state‐of‐the‐art algorithms for λ

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:40:y:1991:i:1:p:143-158

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