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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
First passage time distribution      150
First waiting time method for binomial distribution      525
First-Passage-Time      755
First-passage-time in M/M/1 queue, rejection method for      757
First-passage-time, distribution of      755
Fisher — von Mises distribution      571
Fisher's approximation      136
Fisher's transformation      406
Fisher, N.I.      473 474 476
Fishman, G.S.      4 502 505 523 543
Fix, E.      587
Fleishman's family      694
Fleishman, A.I.      694
Floyd, R.W.      431 747
Folded normal distribution      469
Folks, J.L.      148
Forsythe — von Neumann method      121
Forsythe — von Neumann method for gamma distribution      130 420
Forsythe's method      123
Forsythe's method for beta distribution      432
Forsythe's method for normal distribution      380
Forsythe's method for the exponential distribution      125
Forsythe's method, analysis of      124 132
Forsythe's method, Monahan's generalization of      127
Forsythe, G.E.      121 123 380
Fox, B.L.      4 29 251 431 580 736 746 747 767
Fraker, J.R.      571
Franklin, J.N.      571
Franta, W.R.      746 747
Frechet bounds      586
Frechet distributions      578 579
Frechet's extremal distributions      579 580 581 600
Frechet's extremal distributions, discrete form for      593
Frechet's family      581
Frechet's inequalities      579 586 593
Frechet, M.      578 581
Fredkin, E.      104
Free tree      662
Freeman — Tukey approximation      136
Freeman, M.F.      136
Friday, D.S.      4
Full correlation range      582
Future event set      736
Future event set algorithm      736
Gambler's ruin problem      758 759
Gamma distribution      401
Gamma distribution with parameter less than one      415 419 424 425
Gamma distribution, algorithm G4PE for      426
Gamma distribution, algorithm GB for      405 411 413 420 423
Gamma distribution, algorithm GBH for      406
Gamma distribution, algorithm GC for      405
Gamma distribution, algorithm GO for      405 413 423
Gamma distribution, algorithm GRUB for      406
Gamma distribution, algorithm GS for      420 424 425 426
Gamma distribution, algorithm RGS for      426
Gamma distribution, algorithm TAD2, for      405
Gamma distribution, algorithm XG for      405 410
Gamma distribution, almost-exact inversion method for      137 145
Gamma distribution, as a DHR distribution      267
Gamma distribution, as an IHR distribution      343
Gamma distribution, as an NBUE distribution      742
Gamma distribution, as an NWUE distribution      742
Gamma distribution, Berman's method for      419 420
Gamma distribution, Best's rejection method for      410
Gamma distribution, characteristic function of      734
Gamma distribution, Cheng's rejection method for      411 413 423
Gamma distribution, closure under addition      20
Gamma distribution, composition-rejection method for      420
Gamma distribution, convergence to normal distribution      58
Gamma distribution, definition      7
Gamma distribution, distribution of ratio      25
Gamma distribution, Forsythe — von Neumann method for      130 420
Gamma distribution, generator for      182
Gamma distribution, inequalities for      408 425 734
Gamma distribution, Johnk's method for      418 420
Gamma distribution, local central limit theorem for      404
Gamma distribution, log-concavity of      287 406
Gamma distribution, Marsaglia's algorithm RGAMA for      406
Gamma distribution, normal approximations for      136
Gamma distribution, properties      13 23
Gamma distribution, properties of      182 402 423 428
Gamma distribution, ratio-of-uniforms method for      203 406
Gamma distribution, recursive properties of      181
Gamma distribution, rejection method for      132 304 405 415 419 426
Gamma distribution, relation to beta distribution      403 429 595
Gamma distribution, relation to Cauchy distribution      427
Gamma distribution, relation to Dirichlet distribution      594
Gamma distribution, relation to exponential distribution      402
Gamma distribution, relation to exponential power distribution      175 193 420
Gamma distribution, relation to generalized inverse gaussian distribution      478
Gamma distribution, relation to Johnson — Tietjen — Beckman distribution      175
Gamma distribution, relation to normal distribution      23 402
Gamma distribution, relation to Pareto distribution      194
Gamma distribution, relation to Pearson ATI distribution      427
Gamma distribution, relation to Stacy's generalized gamma distribution      423
Gamma distribution, relation to t distribution      15 427 445
Gamma distribution, relation to uniform distribution on unit sphere      227
Gamma distribution, relation to uniform order statistics      210
Gamma distribution, sample maximum of      678
Gamma distribution, strip method for      406
Gamma distribution, thinning method for      277
Gamma distribution, Wilson — Hilferty approximation-based method for      139 141
Gamma distribution, Wilson — Hilferty transformation for      137
Gamma function      490 491 493
Gamma-integral distribution      191
Gaver, D.P.      261 277
Gebelein, H.      574
Gehrke, H.      631
General alias algorithm      111
General position      568
Generalization of a sample      759
Generalized Cauchy distribution      452
Generalized gaussian distribution      323
Generalized gaussian distribution, inequalities for      323
Generalized gaussian distribution, universal rejection method for      324
Generalized hyperbolic distribution      478
Generalized inverse gaussian distribution      478
Generalized inverse gaussian distribution, log-concavity of      287 479
Generalized inverse gaussian distribution, properties of      479
Generalized inverse gaussian distribution, rejection method for      479 480
Generalized Liouville distribution      599
Generalized logarithmic series distribution      549
Generalized logistic distribution      330 480
Generalized logistic distribution, relation to beta distribution      480
Generating function      83 486
Generator, admissible      9 10
Generator, portability      8
Generator, readability      8
Generator, set-up time      8
Generator, speed      8
Gentle, J.E.      4
Geometric distribution      487 498
Geometric distribution, definition      84
Geometric distribution, experimental method for      499
Geometric distribution, geometrical puzzles      111
Geometric distribution, inversion method for      87 499 500
Geometric distribution, memoryless property of      500
Geometric distribution, properties of      498
Geometric distribution, relation to binomial distribution      522
Geometric distribution, relation to logarithmic series distribution      547
Geometric distribution, sequential test method for      280
Gerontides, I.      215 220
Ghost point method in sequential sampling      626 628
Ghost point method, analysis of      629
Ghost sample method in sequential sampling      621 626
Gibbons, J.D.      574
Girault, M.      186
Gleaves, J.T.      372
Glick, N.      649
Godwin, H.J.      322 685 691
Gonnet, G.H.      747
Gordon's inequality      681
Gordon, R.D.      681
Grade correlation      574
Gram — Charlier series      735
Grassia's distribution      444 445
Grassia, A.      444
Graybill, F.A.      565
Green, E.H.      158
Green, P.J.      372 374
Greenwood, A.J.      63 141 406
Grenander, U.      171
Grid method      368
Grid method for bounded densities      376
Grid method for Riemann integrable densities      377
Grid method for unimodal density      377
Grid method in avoidance problems      373
Grid method, analysis of      370 371
Grid method, size of directory      370
Grid, directory      368
Groeneveld, R.A.      482
Grouping method for order statistics      220
Guerra, V.O.      763
Guide tables, algorithm      97
Guide tables, definition      96
Guide tables, set-up      98
Gumbel's bivariate exponential family      583 591
Gumbel's bivariate logistic distribution, relation to Cook — Johnson distribution      602
Gumbel's family      578
Gumbel, E.J.      287 330 578 583 584
Guralnik, G.      232
Gyorfi, L.      759 762 763 764 766 767
Haas, R.W.      145
Hacet, B.I.      309
Halfnormal distribution as an IHR distribution      343
Halgreen, C.      478
Hall, P.      733
Hammersley, J.M.      29
Hammond, J.L.      571
Handscomb, D.C.      29
Hankel determinant      683
Haq, M.S.      578
Hardy, G.H.      338
Harris, C.M.      194
Hart, J.F.      626
Hartley, H.O.      215
Hashing with chaining      617
Hastings, C.      36
Hazard rate      260 341
Hazard rate, relation to nonhomogeneous Poisson process      260
Heap      92
Heap in discrete event simulation      747 748
Heapsort      214
Heiberger, R.M.      607
Height-balanced tree      613
Henriksen's algorithm      746
Henriksen, J.O.      746
Hermite distribution      592
Hermite polynomial      733
Heyde's family      693
Heyde, C.      693
Heyman, D.P.      749 755
Hickey, T.      673
Hicks, J.S.      243
Hierarchical bucket structure in discrete event simulation      746
Hilferty, M.M.      136
Hill, I.D.      678
Hill, T.W.      685
histogram      685 687
Histogram method      103
Hitchin, D.      678
Hoeffding, W.      580 588
Hoffman, R.G.      571
Holcomb, E.W.      458
HOLD model      742 743
HOLD model, analysis of      748
Holliday, E.M.      571
Hopcroft, J.E.      90 92 214 372 669
Hora, S.C.      763
Horner's rule      141
Horspool, N.      101
Hsuan, F.C.      570
Hu — Tucker algorithm      91
Hu, T.C.      91 657
Huffman tree      91 776
Huffman tree, analysis of      93
Huffman tree, construction of      92
Huffman, D.      91
Hutchinson, T.P.      558 600 602
Hybrid rejection method      115
Hyperbola distribution      483
Hyperbolic cosine distribution      330
Hyperbolic distribution      483
Hyperbolic distribution, log-concavity of      483
Hyperbolic distribution, rejection method for      483
Hyperbolic distribution, relation to generalized inverse gaussian distribution      483 484
Hyperbolic secant distribution      471
Hyperbolic secant distribution, inequalities for      472
Hyperbolic secant distribution, inversion method for      472
Hyperbolic secant distribution, log-concavity of      287
Hyperbolic secant distribution, properties of      472
Hyperbolic secant distribution, rejection method for      472
Hyperbolic secant distribution, relation to Cauchy distribution      472
Hyperbolic secant distribution, relation to normal distribution      472
Hypergeometric distribution      544
Hypergeometric distribution, properties of      545 619
Hypergeometric distribution, rejection method for      545
Hypergeometric distribution, relation to binomial distribution      545
Hypergeometric distribution, universal rejection method for      545
Hyperrectangle parking problem      374
Hypoexponential distribution, generators for      121
Ibragimov, I.A.      183 184 288 455 459 720
IHR distributions      261
IHR distributions, inversion-rejection method for      342
IHR distributions, properties of      343 356
Incidence matrix      671
Inclusion-Exclusion Principle      21 519
Incremental method for uniform distribution on hypersphere      243
Independence      6
Indicator function      8
Inequalities for exponential distribution      55
Inequalities for tails of distribution functions      321
Inequality, Chebyshev's      321
Inequality, Markov's      321
Inequality, Narumi's      321
Integral representation for Bessel function of first kind      756
Integral representation for stable distribution      459
Invariance under monotone transformations      574
Inverse gaussian distribution      148 478
Inverse gaussian distribution, generator of Michael, Schucany and Haas for      149
Inverse gaussian distribution, properties of      148 150
Inverse-of-f method      178
Inverse-of-f method for normal distribution      178
Inverse-of-f method, application of      315
Inversion by binary search      89 93
Inversion by correction      98
Inversion by correction, algorithm      99
Inversion by correction, analysis      99
Inversion by correction, modified algorithms      100
Inversion by hashing      96
Inversion by sequential search      85
Inversion by truncation of a continuous random variable      87
Inversion formula      700 719
Inversion inequalities      625
Inversion method      27 28 261
Inversion method by sequential search      776
Inversion method for Bartlett's kernel      767
Inversion method for binomial distribution      524
Inversion method for Burr distribution      477
Inversion method for Cauchy distribution      29 450
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