A composition-alias method for generating gamma variates with shape parameter greater than 1

Authors:
Tapas K. Sarkar
Affiliations:
Victoria Univ., Wellington, New Zealand
Venue:
ACM Transactions on Mathematical Software (TOMS)
Year:
1996

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Abstract

In this article the author describes a procedure for generating gamma variates with shape parameter 1. Given a supply of “good” uniform (0,1) variates, the procedure makes use of composition method, squeeze method, and aliasing to generate gamma variates. Comparison with existing methods shows that the author's method is faster in terms of computer time and uses a smaller number of uniform (0,1) variates. The method is also statistically exact.