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Procedures for generating gamma variates with non-integer parameter sets

Published:01 January 1971Publication History

ABSTRACT

One of the most useful distributions in stochastic modeling is the two parameter gamma distribution. This paper presents a technique for generating random gamma variates from any two parameter gamma form with either integer or non-integer parameters. Only two techniques are presently available for generating gamma variates with a non-integer shape parameter, those being a variate averaging technique proposed by Naylor, et al. and a rejection scheme proposed by Johnk. The three generation schemes are compared with respect to (1) statistical goodness of fit, (2) computer running time and (3) random number calls. The author's scheme is shown to be statistically comparable with respect to goodness of fit, and generally superior relevant to computer running times and random number calls.

References

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  1. Procedures for generating gamma variates with non-integer parameter sets

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        cover image ACM Conferences
        WSC '71: Proceedings of the 5th conference on Winter simulation
        January 1971
        544 pages
        ISBN:9781450374088
        DOI:10.1145/800294

        Copyright © 1971 ACM

        Publisher

        Association for Computing Machinery

        New York, NY, United States

        Publication History

        • Published: 1 January 1971

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