Computer generation of negative binomial variates by envelope rejection

S.H. Ong and Wen-Jau Lee

Computational Statistics & Data Analysis, 2008, vol. 52, issue 9, 4175-4183

Abstract: This paper proposes an envelope rejection method for computer sampling from the negative binomial distribution, with index parameter [alpha] and probability parameter p, based on a simple probability distribution inequality. Comparative timings with existing methods of generating NB variates show that the proposed method is comparable or faster when [alpha] is not too large ([alpha] 0.7.

Date: 2008
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