Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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Authors: Bowei Xi, Kean Ming Tan, Chuanhai Liu
Title: Logarithmic Transformation-Based Gamma Random Number Generators
Abstract: Developing efficient gamma variate generators is important for Monte Carlo methods. With a brief review of existing methods for generating gamma random numbers, this article proposes two simple gamma variate generators that are obtained from the ratio- of-uniforms method and based on two logarithmic transformations of the gamma random variable. One transformation allows for the generators to work for all shape parameter values. The other is introduced to have improved efficiency for shape parameters smaller than or equal to one.

Page views:: 2713. Submitted: 2011-02-23. Published: 2013-10-22.
Paper: Logarithmic Transformation-Based Gamma Random Number Generators     Download PDF (Downloads: 4016)
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ROUgamma.zip: C++ source code and header file Download (Downloads: 268; 5KB)
v55i04.R: R replication code Download (Downloads: 399; 10KB)

DOI: 10.18637/jss.v055.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.