Efficient generation of random variates via the ratio-of-uniforms method |
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| Authors: | J C Wakefield A E Gelfand A F M Smith |
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| Institution: | (1) Department of Mathematics, Imperial College, 180 Queen's Gate, SW7 2BZ London, UK;(2) Department of Statistics, University of Connecticut, 06268 Storrs, CT, USA |
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| Abstract: | Improvements to the conventional ratio-of-uniforms method for random variate generation are proposed. A generalized radio-of-uniforms method is introduced, and it is demonstrated that relocation of the required density via the mode can greatly improve the computational efficiency of the method. We describe a multivariate version of the basic method and summarize a general strategy for efficient ratio-of-uniforms generation. Illustrative examples are given. |
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| Keywords: | Ratio-of-uniforms power functions multivariate ratio-of-uniforms beta distribution Bayesian computation |
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