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arXiv · 1302.1884

Simulating from a gamma distribution with small shape parameter

Chuanhai Liu·Ryan Martin·Nick Syring
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Abstract

Simulating from a gamma distribution with small shape parameter is a challenging problem. Towards an efficient method, we obtain a limiting distribution for a suitably normalized gamma distribution when the shape parameter tends to zero. Then this limiting distribution provides insight to the construction of a new, simple, and highly efficient acceptance--rejection algorithm. Comparisons based on acceptance rates show that the proposed procedure is more efficient than existing acceptance--rejection methods.

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Chuanhai Liu, Ryan Martin, Nick Syring. 2013-02-07. Simulating from a gamma distribution with small shape parameter. https://arxiv.org/abs/1302.1884

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