A note on a universal random variate generator for integer-valued random variables
Abstract
A universal generator for integer-valued square-integrable random variables is introduced. The generator relies on a rejection technique based on a generalization of the inversion formula for integer-valued random variables. The proposal gives rise to a simple algorithm which may be implemented in a few code lines and which may show good performance when the classical families of distributions - such as the Poisson and the Binomial - are considered. In addition, the method is suitable for the computer generation of integer-valued random variables which display closed-form characteristic functions, but do not possess a probability function expressible in a simple analytical way. As an example of such a framework, an application to the Poisson-Tweedie distribution is provided.
Keywords
Cite
@article{arxiv.1211.0815,
title = {A note on a universal random variate generator for integer-valued random variables},
author = {Lucio Barabesi and Luca Pratelli},
journal= {arXiv preprint arXiv:1211.0815},
year = {2012}
}