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Sampling from Linear Multivariate Densities

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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

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Wolfgang Hörmann, Josef Leydold

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