Abstract
It is well known that the generation of random vectors with non-independent components is difficult. Nevertheless, we propose a new and very simple generation algorithm for multivariate linear densities over point-symmetric domains. Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate concave distributions.
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© 2009 Springer-Verlag US
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Hörmann, W., Leydold, J. (2009). Sampling from Linear Multivariate Densities. In: Alexopoulos, C., Goldsman, D., Wilson, J. (eds) Advancing the Frontiers of Simulation. International Series in Operations Research & Management Science, vol 133. Springer, Boston, MA. https://doi.org/10.1007/b110059_7
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DOI: https://doi.org/10.1007/b110059_7
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