Abstract
Improvements to the conventional ratio-of-uniforms method for random variate generation are proposed. A generalized radio-of-uniforms method is introduced, and it is demonstrated that relocation of the required density via the mode can greatly improve the computational efficiency of the method. We describe a multivariate version of the basic method and summarize a general strategy for efficient ratio-of-uniforms generation. Illustrative examples are given.
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Wakefield, J.C., Gelfand, A.E. & Smith, A.F.M. Efficient generation of random variates via the ratio-of-uniforms method. Stat Comput 1, 129–133 (1991). https://doi.org/10.1007/BF01889987
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Keywords
- Ratio-of-uniforms
- power functions
- multivariate ratio-of-uniforms
- beta distribution
- Bayesian computation