Generating Continuous Random Variates

Nick T. Thomopoulos
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Nick T. Thomopoulos: Illinois Institute of Technology, Stuart School of Business

Chapter Chapter 4 in Essentials of Monte Carlo Simulation, 2013, pp 27-44 from Springer

Abstract: Abstract This chapter shows how to transform the continuous uniform random variates, u∼U(0,1), to random variates for a variable that comes from one of the common continuous probability distributions. The probability distributions described here are the following: the continuous uniform, exponential, Erlang, gamma, beta, Weibull, normal, lognormal, chi-square, student’s t, and Fishers F. The chapter also shows how to use the (Hasting’s) approximation formulas for the standard normal distribution.

Keywords: Cumulative Distribution Function; Standard Normal Distribution; Approximation Formula; Gamma Variate; Continuous Uniform (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-6022-0_4

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DOI: 10.1007/978-1-4614-6022-0_4

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