Convolution random number generator: Difference between revisions

Revision as of 12:19, 20 October 2009

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In [[statistics]] and [[computer software]], a '''convolution random number generator''' is a type of [[random number generator]] whichthat can be used to generate random variates from certain classes of [[probability distribution]]. The particular advantage of this type of approach is that it allows advantage to be taken of existing software for generating random variates from other, usually non-uniform, distributions. However, faster algorithms may be obtainable for the same distributions by other more complicated approaches.

A number of distributions can be expressed in terms of the (possibly weighted) sum of two or more random variables from other distributions. (The distribution of the sum is the [[convolution]] of the distributions of the individual random variables).