In this paper two procedures for random variate generation for the family of Multivariate Exponential Power (MEP) distributions are developed and then compared. By conveniently expressing MEP distributions in terms of mixture of random variables, a simple and fast procedure based on transformation approach is proposed. Another procedure, based on a general acceptance-rejection (AR) technique for multivariate orthounimodal densities, is considered. As expected, the transformation-based procedure is considerably less time-consuming than the other one. Furthermore, this study allows us to evaluate to which extent generalizations of AR methods could be computationally less efficient than a transformation one for the type of multivariate distributions considered.

Solaro, N. (2004). Random variate generation from Multivariate Exponential Power distribution. STATISTICA & APPLICAZIONI, II(2), 25-44.

Random variate generation from Multivariate Exponential Power distribution

SOLARO, NADIA
2004

Abstract

In this paper two procedures for random variate generation for the family of Multivariate Exponential Power (MEP) distributions are developed and then compared. By conveniently expressing MEP distributions in terms of mixture of random variables, a simple and fast procedure based on transformation approach is proposed. Another procedure, based on a general acceptance-rejection (AR) technique for multivariate orthounimodal densities, is considered. As expected, the transformation-based procedure is considerably less time-consuming than the other one. Furthermore, this study allows us to evaluate to which extent generalizations of AR methods could be computationally less efficient than a transformation one for the type of multivariate distributions considered.
Articolo in rivista - Articolo scientifico
acceptance-rejection method, multivariate elliptical and symmetric distributions, multivariate orthounimodal distributions, transformation method
English
2004
II
2
25
44
none
Solaro, N. (2004). Random variate generation from Multivariate Exponential Power distribution. STATISTICA & APPLICAZIONI, II(2), 25-44.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/2595
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