A range reduction method for generating discrete random variables

Efraim Shmerling

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1094-1099

Abstract: A new general method for generating discrete random variables is presented. The method is based on reducing the problem of generating a discrete random variable with an extremely large range to that of generating a random variable with a small range consisting of a few possible values (i.e. range reduction). The validity of the method presented is proved, and its performance is examined and compared to the performance of previously developed general methods. A random number generator for geometric variables of order r based on the range reduction method is given as an illustration of its advantages.

Keywords: Random number generation; Discrete distribution; Probability generating function; Algorithm; Geometric distribution of order r (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.01.002

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