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On computer generation of random vectors by transformations of uniformly distributed vectors

Über die Erzeugung von Zufallsvektoren durch Transformation gleichmäßig verteilter Vektoren

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Abstract

The paper discusses a general method of computer generation of random vectors based on transformations of uniformly distributed vectors. This method is then applied to build up efficient algorithms for generatingq-exponential random vectors and multivariate normal ort-distributed vectors. Comparisons and connections with other similar algorithms are also presented.

Zusammenfassung

Es wird eine Methode zur Erzeugung von Zufallsvektoren durch Transformation gleichmäßig verteilter Vektoren vorgestellt. Die Methode wird angewandt zur Konstruktion von Algorithmen zur Erzeugungq-exponential-, mehrdimensional normal- sowie mehrdimensionalt-verteilter Vektoren.

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Authors and Affiliations

  1. Centrul de Calcul, Universitatea din Bucureşti, Str. Academiei, 14, Bucureşti, Romania

    S. Stefąnescu & I. Vąduva

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  1. S. Stefąnescu
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  2. I. Vąduva
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Stefąnescu, S., Vąduva, I. On computer generation of random vectors by transformations of uniformly distributed vectors. Computing 39, 141–153 (1987). https://doi.org/10.1007/BF02310103

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  • DOI: https://doi.org/10.1007/BF02310103

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