I'm a student learning about methods for generating random variables.

But I'm having a hard time finding examples or youtube tutorials on composition method and algorithm of generating random variables.

Given that this method is grouped with Acceptance-Rejection and inverse transform in the lecture notes my prof handed out, I'd imagine it is a rather common method. So I was wondering whether it is referred to with a different name more commonly? Because I had to no trouble finding examples and tutorials for the A-R and I-T methods.

Obviously my prof's lectures/office hours aren't very helpful and this method isn't even in the textbook. There are no solved examples on this and multiple questions in the homework. Only a single slide in the notes.

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I even searched for different methods of generating RVs (https://www.encyclopediaofmath.org/index.php/Generating_random_variables) But it seems to not exist.

  • $\begingroup$ You would use a method such as acceptance-rejection or inverse transform to generate the random variates $X_1,\ldots,X_n$. $\endgroup$
    – Math1000
    Mar 9, 2020 at 23:48
  • $\begingroup$ @Math1000 that is not the question here. This does not answer my question. $\endgroup$
    – Kal
    Mar 10, 2020 at 0:17
  • $\begingroup$ It does, actually. If you understand how to generate the random variates using the other methods, then the straightforward algorithm that you have posted tells you exactly how to generate a random variate using this method. $\endgroup$
    – Math1000
    Mar 10, 2020 at 1:37
  • $\begingroup$ @Math1000 again, that is not the question. Please refer to the post. I am asking for information on this method. $\endgroup$
    – Kal
    Mar 10, 2020 at 2:40
  • $\begingroup$ @Math1000 your comment does not answer the question stated in the post. $\endgroup$
    – Kal
    Mar 10, 2020 at 2:41


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