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  • Search: subject:"Multivariate random variate generation"
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Direct sampling 1 Discretization 1 Monte Carlo sampling 1 Multivariate random variate generation 1 R package 1 Visualization 1
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Lee, Chel Hee 1 Wang, Liqun 1
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Computational Statistics & Data Analysis 1
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Discretization-based direct random sample generation
Wang, Liqun; Lee, Chel Hee - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 1001-1010
An efficient Monte Carlo method for random sample generation from high dimensional distributions of complex structures is developed. The method is based on random discretization of the sample space and direct inversion of the discretized cumulative distribution function. It requires only the...
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