Random Variable Generation

Part of the Use R book series (USE R)


In this chapter, we present practical techniques that can produce random variables from both standard and nonstandard distributions by using a computer program. Given the availability of a uniform generator in R, as explained in Section 2.1.1, we do not deal with the specific production of uniform random variables. The most basic techniques relate the distribution to be simulated to a uniform variate by a transform or a particular probabilistic property, as in Section 2.2, while the most generic one is a simulation version of the trial-and-error method, described in Section 2.3 under the name of the Accept–Reject method.


Normal Random Variable Standard Distribution Exponential Random Variable Uniform Random Variable Uniform Generator 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Université Paris Dauphine UMR CNRS 7534 CEREMADEParis cedex 16France
  2. 2.Department of StatisticsUniversity of FloridaGainesvilleUSA

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