Automatic random variate generation in Python

Automatic Non-uniform Random Variate Generation in R

Random variate generation is an important tool in statistical computing. Many programs for simulation or statistical computing (e.g. R) provide a collection of random variate generators for many standard distributions. However, as statistical modeling has become more sophisticated there is demand for larger classes of distributions. Adding generators for newly required distributions seems not t...

An automatic code generator for nonuniform random variate generation

Non-uniform Random Variate Generation

This is a survey of the main methods in non-uniform random variate generation, and highlights recent research on the subject. Classical paradigms such as inversion, rejection, guide tables, and transformations are reviewed. We provide information on the expected time complexity of various algorithms, before addressing modern topics such as indirectly specified distributions, random processes, a...

On Global Costs and Nyquist's Theorem in Random Variate Generation

We consider a large class of densities defined in terms of smoothness and tail conditions. Assume that we want to generate n iid random variables from a given density f in this class, and that the global cost of the generator is equal to the total number of evaluations of f We demonstrate with the help of several examples how one can proceed to make the expected cost grow at a sublinear (o(n» r...

Density estimation and random variate generation using multilayer networks

In this paper we consider two important topics: density estimation and random variate generation. We present a framework that is easily implemented using the familiar multilayer neural network. First, we develop two new methods for density estimation, a stochastic method and a related deterministic method. Both methods are based on approximating the distribution function, the density being obta...