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Devroye L. — Non-Uniform Random Variate Generation
Devroye L. — Non-Uniform Random Variate Generation



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Название: Non-Uniform Random Variate Generation

Автор: Devroye L.

Аннотация:

The books gives several methods of generating random variables for various statistical distributions. It is mathematically rigorous and very detailed.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 1986

Количество страниц: 843

Добавлена в каталог: 11.07.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Cauchy distribution, relation to beta distribution      429
Cauchy distribution, relation to gamma distribution      427
Cauchy distribution, relation to normal distribution      240 451 452
Cauchy distribution, relation to uniform distribution in unit circle      234
Cauchy distribution, tail of      453
Cawdery, M.N.      367
Cayley's theorem      662
Central limit theorem      21 136 222
Central limit theorem for binomial distribution      526
Central limit theorem, local      719
Chalmers, C.P.      606
Chambers, J.M.      184 185 459
Characteristic function      6 19 695
Characteristic function of uniform distribution      708
Characteristic function with compact support      706 712
Characteristic function, black box method for      696
Characteristic function, definition      5
Characteristic function, inequalities for      707 721
Characteristic function, Polya      718
Characteristic function, rejection method for      697
Chebyshev's inequality      321
Chen, H.C.      96
Cheng's rejection method for beta distribution      438
Cheng's rejection method for gamma distribution      411 413 423
Cheng, R.C.H.      194 203 405 406 411 412 413 423 432 437 438 439 477
Cherian, K.C.      587
Chernin, K.E.      183 184 455 459
Chhikara, R.S.      148
Chi-square distribution      403
Chi-square distribution, properties      13
Chmielewski, M.A.      226
Chow, Y.S.      5 21 50 63 225 323
Cinlar, E.      246 251 257 261
Circle avoidance problem      372
Circle parking problem      374
Circular array in discrete event simulation      741
Cislak, P.J.      476
Classical sampling      612
Classical sampling with membership checking      613
Classical sampling with membership checking based on a hash table      616
Classical sampling, algorithm of Nijenhuis and Wilf for      618
Classical sampling, analysis of      614 615
Closed hashing      613 617
Codeword      662
Coding function      559 643
Coding function for binary tree      657 658
Coding function for edges in a graph      668
Coding function for random partition      661
Cohen, J.      673
Coin flip method for binomial distribution      524
Coin flips, simulation of      104
Compact support      43
Comparison-based inversion methods      88
Compiled code      8
Complete binary tree      90
complexity      2
Composition method      66 68
Composition method for bivariate gamma distribution      587
Composition method for discrete distributions      116
Composition method for multivariate distributions      557
Composition method for normal distribution      67
Composition method for order statistics      224
Composition method for Poisson processes      253
Composition method for polynomial densities      71 72
Composition method with quick acceptance      263
Composition method, analysis of      69
Composition method, based upon hazard rates      262
Composition method, modified      69
Composition-rejection method for gamma distribution      420
Composition-rejection method for normal distribution      380 382
Composition-rejection method for t distribution      446 453
Compound Poisson distribution      487
Compound Weibull distribution      414
Comprehensive family      581
Concave distribution      172
Concave monotone densities, inequalities for      328
Concave monotone densities, universal rejection method for      329
Conditional density      555
Conditional distribution method      555
Conditional distribution method for      584
Conditional distribution method for Gumbel's bivariate exponential family      584
Conditional distribution method for Morgenstern's family      580
Conditional distribution method for multinomial distribution      558 559 731
Conditional distribution method for multinormal distribution      556
Conditional distribution method for multivariate Cauchy distribution      555
Conditional distribution method for normal distribution      556
Conditional distribution method for random $R \times C$ table      610
Conditional distribution method, tables for      561
Connected graph      668
Consistency      762
Consistent density estimate      762
Context-free language      673
Contingency table      608
Continuous mixtures, definition      16
Convergence to the stable distribution      468
Convergent series method      152
Convergent series method, analysis of      156
Convex characteristic function      186
Convex densities      179
Convex densities, generator for      180
Convex densities, inequalities for      311
Convex densities, inversion-rejection method for      355
Convex densities, universal rejection method for      313
Convex density, inequalities for      322
Convex distribution      172
Convex hull      571
Convex poly tope      568
Convex polygon in the plane      570
Convolutions      19
Cook — Johnson distribution      600 602
Cook — Johnson distribution, properties of      601
Cook, J.M.      241
Cook, R.D.      600 602
Cooper, B.E.      678
Cornish — Fisher approximation      136
Correlated random variates      29
Correlation coefficient      573
Covariance matrix      564
Covariance matrix, random vector with given      565
Cox, D.R.      258
Cramer, H.      733
Cumulative hazard rate      260
Cyclic rate function      256
Dagpunar, J.S.      426
Dahl, O.J.      743
Darboux's formula      460 462
Darboux, M.      460 462
Darling, D.A.      168 716
Davey, D.      743 746
David, F.N.      587
Davidovic, Ju.S.      309
Davis, P.J.      701 704
DDG tree      771
DDG tree algorithm      771
DDG tree algorithm, analysis of      772
DDG tree algorithm, optimal      777
DDG tree algorithm, suboptimal      775
DDG tree for rejection method      777
DDG tree, relation to finite state machine      782
de Balbine, G.      648 651
de Matteis, A.      74
Deak, I.      4 77 232 566
Decoding function      559
Decoding method      643
Decoding method for random binary tree      657
Decoding method for random permutation      644
Decoding method, Robson's      648
Decoding with rejection      645
Decomposition of a polytope      570
Deconvolution method      239
Deconvolution method for arc sine distribution      239
Denardo, E.V.      746
Densities with known moments      324
density      5
Density estimate      759
Density estimate, consistency of      762
Density, inequalities for      696 698 705
Dependence      573
Depth of a node      649
Derivatives of characteristic function, inequalities for      703
Devroye, L.      4 35 49 151 162 167 169 187 216 218 261 264 268 277 278 288 331 334 406 422 502 507 523 544 568 621 624 625 626 675 676 680 696 759 762 763 764 766 767
DHR distributions      261
DHR distributions, diagonal matrix      605
DHR distributions, dynamic thinning method for      268 283
DHR distributions, inversion method for      267
DHR distributions, inversion-rejection method for      342 344
DHR distributions, properties of      277
Dice, simulation of      103
Dieter, U.      72 76 77 121 145 379 380 383 391 396 397 405 413 420 423 424 425 432 502 507 518 523 538 617
Digamma distribution      553
Diggle, P.J.      372
Dirichlet distribution      593
Dirichlet distribution, generalization of      596
Dirichlet distribution, relation to beta distribution      595
Dirichlet distribution, relation to gamma distribution      594
Dirichlet distribution, relation to uniform spacings      593
Dirichlet tessellation      374
Discrete distribution      83
Discrete distribution generating tree      771
Discrete distribution, inequalities for      497
Discrete distribution, universal rejection method for      497
Discrete dynamic thinning method      283
Discrete event simulation      735
Discrete hazard rate function      278
Discrete Markov chain      757 758
Discrete mixtures      66
Discrete mixtures, definition      16
Discrete normal distribution, rejection method for      117
Discrete random variable      83
Discrete t distribution      497
Discrete thinning method for logarithmic series distribution      282
Discrete thinning method for negative binomial distribution      284
Discrete thinning method, analysis of      282
Discrete uniform distribution      88
Distribution function      5
Distribution function, inequalities for      321
Distributions on hyperspheres      571
Dubey, S.D.      414
Dudewicz, E.J.      483
Dugue, D.      186
Dumouchel, W.H.      458
Durstenfeld, R.      648
Duval, P.      743 744 746
Dvoretzky, A.      373
Dynamic hashing      38
Dynamic thinning method for DHR distributions      268
Dynamic thinning method, analysis of      269
Easton, M.C.      619
Economical method      77
Eigenvalue      605
Empiric distribution function      167
Energy spectrum of fission neutrons      191
Englebrecht-Wiggans, R.      743
entropy      771 775
Equiprobable mixture      106
Erdos — Kac distribution      170
Erdos — Kac distribution, series method for      170
Erdos, P.      170 668
Ernvall, J.      617
Error estimates for inversion formula      702
Euler's constant      424 552 639 680
Evans, J.O.      36
Event simulator      673
Event-driven simulation      736
Expected complexity      2
Experimental method for geometric distribution      499
Explicit approximations for inverse of distribution function      35
Explicit factorial model      631
Exponential class of distributions      38
Exponential distribution, Ahrens — Dieter generator for      397
Exponential distribution, almost-exact inversion method for      134
Exponential distribution, alternating series method for      158
Exponential distribution, as an IHR distribution      343
Exponential distribution, batch method for      223
Exponential distribution, definition      7
Exponential distribution, generating iid random variates      223
Exponential distribution, inequalities for      157
Exponential distribution, inversion method for      29
Exponential distribution, Marsaglla's generator for      394 396
Exponential distribution, memoryless property      212
Exponential distribution, memoryless property of      219 393
Exponential distribution, mixtures of      16
Exponential distribution, Monahan's algorithm for      132
Exponential distribution, order statistics of      219
Exponential distribution, properties      12
Exponential distribution, properties of      125 393 395
Exponential distribution, ratio-of-uniforms method for      200
Exponential distribution, rectangle-wedge-tail method for      397
Exponential distribution, relation to exponential integral distribution      176
Exponential distribution, relation to normal distribution      240
Exponential distribution, relation to Poisson process      248
Exponential distribution, relation to Weibull distribution      414
Exponential distribution, series method for      168
Exponential distribution, truncated      157
Exponential distribution, uniform spacings method for      394
Exponential distribution, von Neumann's method for      125
Exponential function, inequalities for      721
Exponential inequalities      142
Exponential integral distribution, properties of      191
Exponential integral distribution, relation to exponential distribution      176
Exponential inter-arrival time method for Poisson distribution      504
Exponential mixtures      176
Exponential order statistics      219
Exponential power distribution      174
Exponential power distribution, log-concavity of      287
Exponential power distribution, multivariate properties of      244
Exponential power distribution, rejection method for      302
Exponential power distribution, relation to gamma distribution      175 193 420
Exponential scale mixture      329
Exponential spacings      211
Exponential spacings method for exponential order statistics      219
Exponential spacings method for Poisson process      249
Exponential spacings method for uniform order statistics      214
Extendible hashing      104
Extremal value distribution, relation to logistic distribution      39
Extreme value distribution, bivariate      563
Extreme value distribution, log-concavity of      287
Extreme value distribution, relation to Weibull distribution      414
F distribution, definition      23
F distribution, relation to beta distribution      429
F distribution, relation to gamma distribution      23 428
F distribution, relation to t distribution      446
Factorial moment      486
Factorial moment generating function      486
Factorial representation      644
Factorials, evaluation of      489
Faddeeva, V.N.      565
Fagin, R.      104
Fama, E.      458
Fan, C.T.      620 624
Farlie, D.J.G.      578 589
Feast, G.M.      194 203 406
Fejer — de la Vallee Poussin density      187 459 718
Fejer — de la Vallee Poussin density, rejection method for      187
Fejer — de la Vallee Poussin distribution      169
Feller, W.      161 168 172 184 246 326 329 452 453 454 455 457 459 460 468 469 470 563 654 684 693 715 721
Ferreri's system      482
Ferreri, C.      482
Finite mixtures      66
Finite state machine, relation to DDG tree      782
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