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Computer generation of random variables with Lindley or Poisson–Lindley distribution via the Lambert W function

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  • Jodrá, P.

Abstract

We provide procedures to generate random variables with Lindley distribution, and also with Poisson–Lindley or zero-truncated Poisson–Lindley distribution, as simple alternatives to the existing algorithms. Our procedures are based on the fact that the quantile functions of these probability distributions can be expressed in closed form in terms of the Lambert W function. As a consequence, the extreme order statistics from the above distributions can also be computer generated in a straightforward manner.

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  • Jodrá, P., 2010. "Computer generation of random variables with Lindley or Poisson–Lindley distribution via the Lambert W function," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(4), pages 851-859.
    • Handle: RePEc:eee:matcom:v:81:y:2010:i:4:p:851-859
    DOI: 10.1016/j.matcom.2010.09.006
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    1. M. E. Ghitany & D. K. Al-Mutairi, 2008. "Size-biased Poisson-Lindley distribution and its application," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 299-311.
    2. Ghitany, M.E. & Atieh, B. & Nadarajah, S., 2008. "Lindley distribution and its application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(4), pages 493-506.
    3. Barry, D.A & Parlange, J.-Y & Li, L & Prommer, H & Cunningham, C.J & Stagnitti, F, 2000. "Analytical approximations for real values of the Lambert W-function," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 53(1), pages 95-103.
    4. Ghitany, M.E. & Al-Mutairi, D.K. & Nadarajah, S., 2008. "Zero-truncated Poisson–Lindley distribution and its application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 279-287.
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    1. Ghitany, M.E. & Al-Mutairi, D.K. & Balakrishnan, N. & Al-Enezi, L.J., 2013. "Power Lindley distribution and associated inference," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 20-33.
    2. Yuancheng Si & Saralees Nadarajah, 2020. "Lindley Power Series Distributions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 82(1), pages 242-256, February.
    3. Valiollahi, R. & Raqab, Mohammad Z. & Asgharzadeh, A. & Alqallaf, F.A., 2018. "Estimation and prediction for power Lindley distribution under progressively type II right censored samples," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 149(C), pages 32-47.

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