Fast Generation of Deviates for Order Statistics by an Exact Method

نویسندگان
Abouee Mehrizi, Hossein ID 1
Mahlooji, Hashem ID 2
Farzan, Azin ID 3

1 The University of Toronto, Ontario, Canada

2 Sharif University of Technology, Iran

3 University of Washington, Seatle, WA, USA

doi
چکیده

We propose an exact method for generating random deviates from continuous order statistics. This versatile method that generates Beta deviates as a middle step can be applied to any density function without resorting to numerical inversion. We also conduct an exhaustive investigation to document the merits of our method in generating deviates from any Beta distribution.

کلیدواژه‌ها
Order Statistics, Beta Variate, Exact Method, Rejection Method, Equal Probability Partition