Generating the maximum of independent identically distributed random variables

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Generating the Maximum of Independent Identically Distributed Random Variables

Frequently the need arises for the computer generation of variates that are exact/y distributed as 2 = max(X,, . , X.) where X,, . . . , X, form a sequence of independent identically distributed random variables. For large n the individual generation of the Xi’s is unfeasible, and the inversion-of-a-beta-variate is potentially inaccurate. In this paper, we discuss and compare the corrected inve...

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ژورنال

عنوان ژورنال: Computers & Mathematics with Applications

سال: 1980

ISSN: 0898-1221

DOI: 10.1016/0898-1221(80)90039-5