A note on a universal random variate generator for integer-valued random variables |
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Authors: | Lucio Barabesi Luca Pratelli |
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Institution: | 1. Department of Economics and Statistics, University of Siena, P.zza S.Francesco 7, 53100, Siena, Italy 2. Accademia Navale, viale Italia 72, 57100, Livorno, Italy
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Abstract: | A universal generator for integer-valued square-integrable random variables is introduced. The generator relies on a rejection technique based on a generalization of the inversion formula for integer-valued random variables. This approach allows to create a dominating probability function, whose evaluation solely involves two integrals depending on the characteristic function of the random variable to be generated. The proposal gives rise to a simple algorithm which may be implemented in a few code lines and which may show good performance when the classical families of distributions—such as the Poisson and the Binomial—are considered. In addition, applications to the Poisson-Tweedie and the Luria-Delbrück distributions are provided. |
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