Generating negatively correlated gamma variates using the Beta-Gamma transformation

Authors:
Peter A. W. Lewis
Affiliations:
Naval Postgraduate School, Monterey, California
Venue:
WSC '83 Proceedings of the 15th conference on Winter simulation - Volume 1
Year:
1983

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Abstract

The Beta-Gamma transform changes a Gamma distributed variate with shape parameter k into a Gamma variate with shape parameter q, where q is less than k. Using this transformation a scheme is given for generating negatively correlated Gamma variates, each with parameter k. The scheme can be implemented with nothing but a generator of Gamma deviates. It requires no inverse probability integral transform for Gamma variates.