A note on a universal random variate generator for integer-valued random variables

Lucio Barabesi; Luca Pratelli

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arXiv · 1211.0815

A note on a universal random variate generator for integer-valued random variables

Lucio Barabesi·Luca Pratelli

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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. 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, the method is suitable for the computer generation of integer-valued random variables which display closed-form characteristic functions, but do not possess a probability function expressible in a simple analytical way. As an example of such a framework, an application to the Poisson-Tweedie distribution is provided.

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Lucio Barabesi, Luca Pratelli. 2012-11-05. A note on a universal random variate generator for integer-valued random variables. https://arxiv.org/abs/1211.0815

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