Autore: Onorati, Paolo
Titolo: An acceptance-rejection algorithm for thekolmogorov distribution
Periodico: Annali del Dipartimento di metodi e modelli per l'economia, il territorio e la finanza
Anno: 2023 - Volume: 24 - Pagina iniziale: 1 - Pagina finale: 15

We discuss an acceptance-rejection algorithm for the random number generation from the Kol-mogorov distribution. Since the cumulative distribution function (CDF) is a functions series andwe need the density distribution function in our algorithm, we prove that the series of the deriva-tives converges uniformly in order to can derive term by term the functions series; also we providea similar proof for showing that the ratio between the target Kolmogorov density and the auxil-iary density implemented is bounded. Finally, for the application in the algorithm we propose toapproximate the density of Kolmogorov distribution by truncation series where the truncation isposed as far away as possible according to the precision of the calculator, we asses the accuracyof this method by a simulation study.




SICI: 2385-0825(2023)24<1:AAAFTD>2.0.ZU;2-7
Testo completo: https://rosa.uniroma1.it/rosa02/annali_memotef/article/view/1412/1364

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