Fast Generation of Deviates for Order Statistics by an Exact Method

Document Type: Research Paper

Authors

1 Sharif University of Technology, Iran

2 The University of Toronto, Ontario, Canada

3 University of Washington, Seatle, WA, USA

Abstract

We propose an exact method for generating random deviates from continuous order statistics. This versatile method that generates Beta deviates as a middle step can be applied to any density function without resorting to numerical inversion. We also conduct an exhaustive investigation to document the merits of our method in generating deviates from any Beta distribution.

Keywords

Main Subjects


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