Timeline for Extending Random Deviate Generation Using CDF Inversion Method with Iterative Newton-Raphson, Improved Results?
Current License: CC BY-SA 4.0
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| Jun 4, 2020 at 16:53 | comment | added | AJKOER | I have compared, for the special case of the Erlang-distribution (so a generalization of results to other distributions may not be valid), the inversion root method with NRM, to the procedure based on the sum of k natural logarithms of uniform variables. For the case k=3, the process based on the sum of k natural logs of k uniforms, base on routine sample mean and variance comparisons, appears to be superior, however, I did not look at higher moments, or extreme values occurrence. | |
| Jun 3, 2020 at 3:30 | history | answered | Thomas Lumley | CC BY-SA 4.0 |