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A quasi-Monte Carlo implementation of the ziggurat method

Author

Listed:
  • Nguyen Nguyet

    (Department of Mathematics and Statistics, Youngstown State University, Youngstown, OH 44555-7994, USA)

  • Xu Linlin

    (Department of Mathematics, Florida State University, Tallahassee, FL 32306-4510, USA)

  • Ökten Giray

    (Department of Mathematics, Florida State University, Tallahassee, FL 32306-4510, USA)

Abstract

The ziggurat method is a fast random variable generation method introduced by Marsaglia and Tsang in a series of papers. We discuss how the ziggurat method can be implemented for low-discrepancy sequences, and present algorithms and numerical results when the method is used to generate samples from the normal and gamma distributions.

Suggested Citation

  • Nguyen Nguyet & Xu Linlin & Ökten Giray, 2018. "A quasi-Monte Carlo implementation of the ziggurat method," Monte Carlo Methods and Applications, De Gruyter, vol. 24(2), pages 93-99, June.
    • Handle: RePEc:bpj:mcmeap:v:24:y:2018:i:2:p:93-99:n:2
    DOI: 10.1515/mcma-2018-0008
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    References listed on IDEAS

    as
    1. Marsaglia, George & Tsang, Wai Wan, 2000. "The Ziggurat Method for Generating Random Variables," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i08).
    2. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2399-2426, December.
    3. Leong, Philip H. W. & Zhang, Ganglie & Lee, Dong-U & Luk, Wayne & Villasenor, John, 2005. "A Comment on the Implementation of the Ziggurat Method," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 12(i07).
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