A quasi-Monte Carlo implementation of the ziggurat method

Nguyen Nguyet (), Xu Linlin () and Ökten Giray ()
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Nguyen Nguyet: Department of Mathematics and Statistics, Youngstown State University, Youngstown, OH 44555-7994, USA
Xu Linlin: Department of Mathematics, Florida State University, Tallahassee, FL 32306-4510, USA
Ökten Giray: Department of Mathematics, Florida State University, Tallahassee, FL 32306-4510, USA

Monte Carlo Methods and Applications, 2018, vol. 24, issue 2, 93-99

Abstract: The ziggurat method is a fast random variable generation method introduced by Marsaglia and Tsang in a series of papers. We discuss how the ziggurat method can be implemented for low-discrepancy sequences, and present algorithms and numerical results when the method is used to generate samples from the normal and gamma distributions.

Keywords: Ziggurat method; low-discrepancy sequences; quasi-Monte Carlo; normal distribution; gamma distribution (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/mcma-2018-0008

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