Variants of Transformed Density Rejection
and Correlation Induction
In this paper we present some variants of transformed density
rejection (TDR) that provide more flexibility (including the
possibility to halve the expected number of uniform random numbers)
at the expense of slightly higher memory requirements.
Using a synchronized first stream of uniform variates and a second
auxiliary stream (as suggested by
Schmeiser and Kachitvichyanukul (1990))
TDR is well suited for correlation induction.
Thus high positive and negative
correlation between two streams of random variates with same or
different distributions can be induced.
The software can be downloaded from the
UNURAN project page.
Mathematics Subject Classification:
65C10 (Random Number Generation)
CR Categories and Subject Descriptors:
G.3 [Probability and Statistics]: Random number generation
random number generation, rejection method, log-concave density,
transformed density rejection, black-box algorithm,
universal method, correlation induction