Computer generation of negative binomial variates by envelope rejection

This paper proposes an envelope rejection method for computer sampling from the negative binomial distribution, with index parameter [alpha] and probability parameter p, based on a simple probability distribution inequality. Comparative timings with existing methods of generating NB variates show that the proposed method is comparable or faster when [alpha] is not too large ([alpha]<11), and it is fastest for all [alpha] when p>0.7.

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Year of publication:	2008
Authors:	Ong, S.H. ; Lee, Wen-Jau
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 52.2008, 9, p. 4175-4183
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005172246