Resource title

Sampling from Linear Multivariate Densities

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Resource description

It is well known that the generation of random vectors with non-independent components is difficult. Nevertheless, we propose a new and very simple generation algorithm for multivariate linear densities over point-symmetric domains. Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate concave distributions. (author's abstract) ; Series: Research Report Series / Department of Statistics and Mathematics

Resource author

Wolfgang Hörmann, Josef Leydold

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Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/3192/1/Report111.pdf

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