A convenient way of generating gamma random variables using generalized exponential distribution

Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Kanpur 208016, India; Department of Computer Science and Applied Statistics, The University of New Brunswick, Saint John, Canada E2L 4L5
Computational Statistics & Data Analysis (Impact Factor: 1.3). 02/2007; DOI: 10.1016/j.csda.2006.09.037
Source: RePEc

ABSTRACT In this paper we propose a very convenient way to generate gamma random variables using generalized exponential distribution, when the shape parameter lies between 0 and 1. The new method is compared with the most popular Ahrens and Dieter method and the method proposed by Best. Like Ahrens and Dieter and Best methods our method also uses the acceptance–rejection principle. But it is observed that our method has greater acceptance proportion than Ahrens and Dieter or Best methods.

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