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Fast Generation of Discrete Random Variables

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  • Marsaglia, George
  • Tsang, Wai Wan
  • Wang, Jingbo

Abstract

We describe two methods and provide C programs for generating discrete random variables with functions that are simple and fast, averaging ten times as fast as published methods and more than five times as fast as the fastest of those. We provide general procedures for implementing the two methods, as well as specific procedures for three of the most important discrete distributions: Poisson, binomial and hypergeometric.

Suggested Citation

  • Marsaglia, George & Tsang, Wai Wan & Wang, Jingbo, 2004. "Fast Generation of Discrete Random Variables," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 11(i03).
    • Handle: RePEc:jss:jstsof:v:011:i03
    DOI: http://hdl.handle.net/10.18637/jss.v011.i03
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    References listed on IDEAS

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    1. Marsaglia, George, 2003. "Xorshift RNGs," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i14).
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    Cited by:

    1. Aletti, Giacomo, 2018. "Generation of discrete random variables in scalable frameworks," Statistics & Probability Letters, Elsevier, vol. 132(C), pages 99-106.
    2. Shmerling, Efraim, 2013. "A range reduction method for generating discrete random variables," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1094-1099.

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