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Computer generation of negative binomial variates by envelope rejection

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  • Ong, S.H.
  • Lee, Wen-Jau

Abstract

This paper proposes an envelope rejection method for computer sampling from the negative binomial distribution, with index parameter [alpha] and probability parameter p, based on a simple probability distribution inequality. Comparative timings with existing methods of generating NB variates show that the proposed method is comparable or faster when [alpha] is not too large ([alpha] 0.7.

Suggested Citation

  • Ong, S.H. & Lee, Wen-Jau, 2008. "Computer generation of negative binomial variates by envelope rejection," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4175-4183, May.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:9:p:4175-4183
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    References listed on IDEAS

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    1. Kundu, Debasis & Gupta, Rameshwar D., 2007. "A convenient way of generating gamma random variables using generalized exponential distribution," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2796-2802, March.
    2. C. D. Kemp & Adrienne W. Kemp, 1991. "Poisson Random Variate Generation," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(1), pages 143-158, March.
    3. A. C. Atkinson, 1979. "The Computer Generation of Poisson Random Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 28(1), pages 29-35, March.
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    Cited by:

    1. K. Chua & S. Ong, 2013. "Test of misspecification with application to negative binomial distribution," Computational Statistics, Springer, vol. 28(3), pages 993-1009, June.

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