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arXiv · 1304.3800

Extremely efficient generation of Gamma random variables for α>= 1

Luca Martino·David Luengo
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Abstract

The Gamma distribution is well-known and widely used in many signal processing and communications applications. In this letter, a simple and extremely efficient accept/reject algorithm is introduced for the generation of independent random variables from a Gamma distribution with any shape parameter α>= 1. The proposed method uses another Gamma distribution with integer α_p <= α, from which samples can be easily drawn, as proposal function. For this reason, the new technique attains a higher acceptance rate (AR) for α>= 3 than all the methods currently available in the literature, with AR tends to 1 as α diverges.

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Luca Martino, David Luengo. 2013-06-25. Extremely efficient generation of Gamma random variables for α>= 1. https://arxiv.org/abs/1304.3800

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