2012/11/05 by Lucio Barabesi, Luca Pratelli, Barabesi, Lucio +1
Mathematics · #Computation (stat.CO) #FOS: Computer and information sciences #stat.CO
paper · pdf · doi:10.48550/arxiv.1211.0815
arxiv created 2012/11/05 · arxiv updated 2012/11/06
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.