Comparison of random number generators via Fourier transform

Imai Junichi ()
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Imai Junichi: Faculty of Science and Technology, Keio University, Yokohama, Japan

Monte Carlo Methods and Applications, 2013, vol. 19, issue 3, 237-259

Abstract: 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.

Keywords: Monte Carlo method; Fourier transform; infinitely divisible distribution (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:19:y:2013:i:3:p:237-259:n:4

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DOI: 10.1515/mcma-2013-0012

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