DocumentCode
1740967
Title
Simulation from non-standard distributions using envelope methods
Author
Evans, Michael J. ; Swartz, Tim B.
Author_Institution
Dept. of Stat., Toronto Univ., Ont., Canada
Volume
1
fYear
2000
fDate
2000
Firstpage
572
Abstract
This paper considers the development of envelope methods as a tool for simulation. Envelope methods are based on the construction of simple envelopes to functions. The proposed envelopes are general, require little input from the user and are based on the concavity structure of the function or some transformation of the function. The construction of these envelopes facilitates variate generation using the adaptive rejection algorithm
Keywords
simulation; stochastic processes; adaptive rejection algorithm; concavity structure; envelope methods; non-standard distributions simulation; variate generation; Ear; Higher order statistics; Integral equations; Mathematics; Packaging; Statistical distributions; Stochastic systems; Tail; Upper bound;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2000. Proceedings. Winter
Conference_Location
Orlando, FL
Print_ISBN
0-7803-6579-8
Type
conf
DOI
10.1109/WSC.2000.899765
Filename
899765
Link To Document