Computer generation of random variates from the tail of t and normal distributions |
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Authors: | J. S. Dagpunar |
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Affiliation: | Dundee College of Technology , Bell Street, Dundee, DD1 1HG, U.K. |
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Abstract: | An algorithm is developed for the efficient generation of random variates from the tail of a t-distribution. This is specialised to the case of a Normal distribution. Theoretical measures of efficiency are derived. Computer timings for the algorithms are given, and, in the Normal case, compared with existing tail generation procedures. |
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Keywords: | random variate generation distribution ta t-distribution Normal distribution. |
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