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A quasi-Monte Carlo implementation of the ziggurat method

A quasi-Monte Carlo implementation of the ziggurat method AbstractThe ziggurat method is a fast random variable generation method introduced by Marsaglia and Tsang in a series of papers. We discuss how the ziggurat method can be implemented for low-discrepancy sequences, and present algorithms and numerical results when the method is used to generate samples from the normal and gamma distributions. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Monte Carlo Methods and Applications de Gruyter

A quasi-Monte Carlo implementation of the ziggurat method

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Publisher
de Gruyter
Copyright
© 2018 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1569-3961
eISSN
1569-3961
DOI
10.1515/mcma-2018-0008
Publisher site
See Article on Publisher Site

Abstract

AbstractThe ziggurat method is a fast random variable generation method introduced by Marsaglia and Tsang in a series of papers. We discuss how the ziggurat method can be implemented for low-discrepancy sequences, and present algorithms and numerical results when the method is used to generate samples from the normal and gamma distributions.

Journal

Monte Carlo Methods and Applications – de Gruyter

Published: Jun 1, 2018

References

  • Uniformly distributed sequences with an additional uniform property
  • Randomized quasi-Monte Carlo methods in pricing securities
  • A transformation of equidistributed sequences
  • A Comment on the implementation of the Ziggurat method