Sampling from the Gamma Distribution on a Computer

Abstract

This paper describes a method of generating gamma variates that appears to be less costly than Wallace's recently suggested method. For large shape parameter α; the cost of computation is proportional to √α, whereas Wallace's method is proportional to α. Experimentation by Robinson and Lewis indicates that for small α the method suggested here also dominates methods recently suggested by Dieter and Ahrens, albeit those methods dominate for large α. The method suggested here uses the rejection technique. © 1976, ACM. All rights reserved.