Variants of Transformed Density Rejection and Correlation Induction

Josef Leydold, Erich Janka, and Wolfgang Hörmann


In this paper we present some variants of transformed density rejection (TDR) that provide more flexibility (including the possibility to halve the expected number of uniform random numbers) at the expense of slightly higher memory requirements. Using a synchronized first stream of uniform variates and a second auxiliary stream (as suggested by Schmeiser and Kachitvichyanukul (1990)) TDR is well suited for correlation induction. Thus high positive and negative correlation between two streams of random variates with same or different distributions can be induced.

The software can be downloaded from the UNURAN project page.

Mathematics Subject Classification: 65C10 (Random Number Generation)

CR Categories and Subject Descriptors: G.3 [Probability and Statistics]: Random number generation

General Terms: Algorithms

Key Words: random number generation, rejection method, log-concave density, transformed density rejection, black-box algorithm, universal method, correlation induction

Download Preprint