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Poisson Random Variate Generation
Author(s) -
Kemp C. D.,
Kemp Adrienne W.
Publication year - 1991
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347913
Subject(s) - random variate , poisson distribution , statistics , mathematics , random variable
SUMMARY The paper examines the problem of generating Poisson random variates particularly when the parameter x may vary from call to call. A new algorithm based on a unidirectional search from the mode is proposed; the modal probability and modal cumulative probability, when required, are calculated by simple and rapid, yet extremely accurate, asymptotic approximations; a squeeze feature is incorporated. Timings for a Fortran 77 implementation show that the algorithm dominates the current state‐of‐the‐art algorithms for λ<700.