Random Variable Generation
The methods developed in this book mostly rely on the possibility of producing (with a computer) a supposedly endless flow of random variables (usually iid) for well-known distributions. Such a simulation is, in turn, based on the production of uniform random variables. We thus provide in this chapter some basic methodology for doing this. In particular, we present a uniform random number generator and illustrate methods for using these uniform random variables to produce random variables from both standard and nonstandard distributions.
KeywordsMixture Representation Uniform Random Variable Congruential Generator Random Variable Generation Gamma Random Variable
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