응용통계연구 (The Korean Journal of Applied Statistics)

  • 제9권1호
  • /
  • Pages.165-177
  • /
  • 1996
  • /
  • 1225-066X(pISSN)
  • /
  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

t 분포의 극단 꼬리부분으로부터의 효율적인 난수생성

Efficient random number generation from extreme tail areas of a t-distribution

  • 오만숙 (서울시 서대문구 대현동 이화여자대학교 통계학과) ;
  • 김나영 (서울시 성북구 안암동 고려대학교 통계학과)
  • 발행 : 1996.03.01
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초록

제한된 t 분포로부터의 난수 생성은 특히 베이지안 분석에서 제한이 있는 모수의 사후밀도함수를 추정하기 위하여 몬테카를로 적분을 하는 경우 등에 필요하다. 그런데 제한영역이 t분포의 극단 꼬리부분으로 주어졌을 때 기존의 난수생성기법의 적용은 매우 비효율적이 될 수 있다. 본 논문에서는 난수생성 알고리즘을 제시하과 기존의 기법들과 시뮬레이션을 통하여 효율을 비교하였다.

It is often needed to generate random numbers from truncated t-distributions to carry out Bayesian inferences, especially in Monte Carlo integration for estimation of posterior densities of constrained parameters. However, when the restricted area is an extreme tail area with a small probability most existing random generation methods are not efficient. In this paper, we propose an efficient acceptance-rejection method to generate random numbers from extreme tail areas of a t-distribution. Using some simulation results, we compare the proposed algorithm with other popular methods.

키워드

참고문헌

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