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| Hisashi Tanizaki |
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| ''A Simple Gamma Random Number Generator for Arbitrary Shape Parameters'' |
| ( 2008, Vol. 3 No.7 ) |
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| This paper proposes an improved gamma random generator. In the past, a lot of gamma random number generators have been proposed, and depending on a shape parameter (say, alpha) they are roughly classified into two cases: (i) alpha lies on the interval (0,1) and (ii) alpha is greater than 1, where alpha=1 can be included in either case. In addition, Cheng and Feast (1980) extended the gamma random number generator in the case where alpha is greater than 1/n, where n denotes an arbitrary positive number. Taking n as a decreasing function of alpha, in this paper we propose a simple gamma random number generator with shape parameter alpha greater than zero. The proposed algorithm is very simple and shows quite good performance. |
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| Keywords: Gamma Random Variable |
JEL: C1 - Econometric and Statistical Methods: General
C6 - Mathematical Methods and Programming: General |
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| Manuscript Received : Jan 27 2008 | | Manuscript Accepted : Jan 27 2008 |
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