In this note, we develop a novel algorithm for generating random numbers from a distribution with a probability density function proportional to (Formula presented.) and (Formula presented.) Our algorithm is highly efficient and is based on rejection sampling where the envelope distribution is an appropriately chosen beta distribution. An example application illustrating how the new algorithm can be used to generate random correlation matrices is discussed.
|Number of pages||5|
|Journal||Communications in Statistics - Simulation and Computation|
|Publication status||Published - 2022|
- Correlation matrix
- Inverse transform sampling
- Rejection sampling