Simulating from polynomial-normal distributions |
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| Authors: | Georgios Skoulakis |
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| Institution: | Finance Department, Sauder School of Business, University of British Columbia, Vancouver, BC, Canada |
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| Abstract: | The family of polynomial-normal distributions includes a number of widely used distributions, such as the Gram–Charlier and Edgeworth distributions. In this note, we present three simple algorithms, (i) CDF Inversion, (ii) Acceptance–Rejection, (iii) and Ratio–of–Uniforms, for simulating variates from a polynomial-normal distribution. Details on the efficiency of the Acceptance–Rejection and the Ratio–of–Uniforms algorithms and a comparison across the various implementations are provided. |
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| Keywords: | Acceptance-Rejection CDF inversion Polynomial-Normal distribution Ratio-of-Uniforms Simulation |
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