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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. 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.
    2. 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).
    3. 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).
    Full references (including those not matched with items on IDEAS)

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