We present a computationally efficient method to generate random variables from a univariate conditional probability density function (PDF) derived from a multivariate α-sub-Gaussian (αSG) distribution. The approach may be used to sequentially generate variates for sliding-window models that constrain immediately adjacent samples to be αSG random vectors. We initially derive and establish vario...

Markov chain Monte Carlo (MCMC) routines have revolutionized the application of Monte Carlo methods in statistical application and statistical computing methodology. The Hastings sampler, encompassing both the Gibbs and Metropolis samplers as special cases, is the most commonly applied MCMC algorithm. The performance of the Hastings sampler relies heavily on the choice of sweep strategy, that i...

Frequently the need arises for the computer generation of variates that are exact/y distributed as 2 = max(X,, . , X.) where X,, . . . , X, form a sequence of independent identically distributed random variables. For large n the individual generation of the Xi’s is unfeasible, and the inversion-of-a-beta-variate is potentially inaccurate. In this paper, we discuss and compare the corrected inve...

Other than common random numbers, control varlates is the most promising variance reduction technique in terms of its potential for widespread use: Control variates is applicable in single or multiple response simulation, it does not require altering the simulation run in any way, and any stochastic simulation contains potential control variates. A rich theory of control variates has been devel...

Various simulation methods for tempered stable random variates with stability index greater than one are investigated with a view towards practical implementation, in particular cases of very small scale parameter, which correspond to increments of a tempered stable Lévy process with a very short stepsize. Methods under consideration are based on acceptance-rejection sampling, a Gaussian approx...

The major Objective of simulating the radio propagation channels is to substantiate the design and performance of wireless communication systems. In the early stage of analysis and performance of wireless transceiver design fading channel simulators plays a vital role. The software simulators are painless to design, where as various hardware simulators have been proved that they offer distinct ...

The generalized inverse Gaussian distribution has become quite popular in financial engineering. The most popular random variate generator is due to Dagpunar (1989). It is an acceptance-rejection algorithm method based on the Ratio-of-uniforms method. However, it is not uniformly fast as it has a prohibitive large rejection constant when the distribution is close to the gamma distribution. Rece...

In these notes we discuss the efficiency of a Monte-Carlo estimator. This naturally leads to the search for more efficient estimators and towards this end we describe some simple variance reduction techniques. In particular, we describe common random numbers, control variates, antithetic Variates and conditional Monte-Carlo, all of which are designed to reduce the variance of our Monte-Carlo es...