A gamma variate generator with shape parameter less than unity

Abstract

Algorithms for generating random numbers that follow a gamma distribution with shape parameter less than unity are proposed. Acceptance-rejection algorithms are developed, based on the generalized exponential distribution. The squeeze technique is applied to our method, and then piecewise envelope functions are further considered. The proposed methods are excellent in acceptance efficiency and promising in speed.

13 pages, 2 figures; To appear in Economics Bulletin