Generating random numbers from a distribution specified by its Laplace transform

Ridout, Martin S. (2009) Generating random numbers from a distribution specified by its Laplace transform. Statistics and Computing, 19 (4). pp. 439-450. ISSN 0960-3174. (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1007/s11222-008-9103-x

Abstract

This paper discusses simulation from an absolutely continuous distribution on the positive real line when the Laplace transform of the distribution is known but its density and distribution functions may not be available. We advocate simulation by the inversion method using a modified Newton-Raphson method, with values of the distribution and density functions obtained by numerical transform inversion. We show that this algorithm performs well in a series of increasingly complex examples. Caution is needed in some situations when the numerical Laplace transform inversion becomes unreliable. In particular the algorithm should not be used for distributions with finite range. But otherwise, except for rather pathological distributions, the approach offers a rapid way of generating random samples with minimal user effort. We contrast our approach with an alternative algorithm due to Devroye (Comput. Math. Appl. 7, 547–552, 1981).

Item Type: Article
Subjects: Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science
Depositing User: Martin S Ridout
Date Deposited: 29 Jun 2011 13:53
Last Modified: 04 Jun 2014 11:05
Resource URI: http://kar.kent.ac.uk/id/eprint/24236 (The current URI for this page, for reference purposes)
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