Mathematics of Computation

ISSN 1088-6842(online) ISSN 0025-5718(print)

 

 

Computer methods for sampling from Student's $ t$ distribution


Authors: A. J. Kinderman, J. F. Monahan and J. G. Ramage
Journal: Math. Comp. 31 (1977), 1009-1018
MSC: Primary 65C10
MathSciNet review: 0443294
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Abstract: Several new algorithms for generating deviates from the t family for the degrees of freedom parameter $ \geqslant 1$ are presented. Both acceptance-rejection and probability mixing procedures are developed. The new algorithms outperform traditional methods for generating deviates from the t family. Recommendations are made concerning choosing an algorithm suited to its application.


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Additional Information

DOI: http://dx.doi.org/10.1090/S0025-5718-1977-0443294-4
Keywords: Random number generator, Student's t distribution
Article copyright: © Copyright 1977 American Mathematical Society