Comparison of random number generators via Fourier transform

Junichi Imai

doi:10.1515/mcma-2013-0012

Comparison of random number generators via Fourier transform

Junichi Imai

Department of Industrial and Systems Engineering

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

In this paper, we investigate simple yet practical schemes to generate random variates from the characteristic function of any continuous distribution. We discuss the generation of non-uniform random variates from a uniform random number generator. The inverse of the cumulative distribution function is derived from its characteristic function via the fast Fourier transform. We conduct several numerical experiments to assess the accuracy and efficiency of the schemes.

Original language	English
Pages (from-to)	237-259
Number of pages	23
Journal	Monte Carlo Methods and Applications
Volume	19
Issue number	3
DOIs	https://doi.org/10.1515/mcma-2013-0012
Publication status	Published - 2013 Oct 1

Keywords

Fourier transform
infinitely divisible distribution
Monte Carlo method

ASJC Scopus subject areas

Statistics and Probability
Applied Mathematics

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10.1515/mcma-2013-0012

Cite this

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Comparison of random number generators via Fourier transform

Abstract

Keywords

ASJC Scopus subject areas

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