This repository contains major algorithms of the last 60 years for the generation of Random Variables from the Gamma Distribution.
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M. D. Johnk. “Erzeugung von Betaverteilten und Gammaverteilten Zufallszahlen, Metrika”. In: The RAND Corporation, Santa Monica, Calif. 8 (1964), pp. 5–15.
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M. B. Berman. “Generating random variates from gamma distributions with non-integer shape parameters.” In: The RAND Corporation, Santa Monica, Calif. 641 (1970).
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J. H. Ahrens and U. Dieter. “Computer methods for sampling from gamma, beta, poisson and bionomial distributions”. In: Computing 12.3 (Sept. 1974), pp. 223–246. issn: 1436-5057. doi: 10.1007/BF02293108.url: https://doi.org/10.1007/BF02293108.
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G. S. Fishman. “Sampling from the gamma distribution on a computer.” In: Communications of the ACM 19 (1976), pp. 407–409.
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A. C. Atkinson. “An Easily Programmed Algorithm for Generating Gamma Ran- dom Variables”. In: Journal of the Royal Statistical Society. Series A (General) 140.2 (1977), pp. 232–234. issn: 00359238. url: http://www.jstor.org/stable/2344879.
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R. C. H. Cheng. “The Generation of Gamma Variables with Non-Integral ShapeParameter.” In: Journal of the Royal Statistical Society. Series C (Applied Statistics) 26.1 (1977), pp. 71–75. doi: www.jstor.org/stable/2346871.
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A. J. Kinderman and J. F. Monahan. “Computer Generation of Random Variables Using the Ratio of Uniform Deviates”. In: ACM Trans. Math. Softw. 3.3 (Sept. 1977), pp. 257–260. issn: 0098-3500. doi: 10.1145/355744.355750. url:http://doi.acm.org/10.1145/355744.355750.
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George Marsaglia. “The squeeze method for generating gamma variates”. In: Computers Mathematics with Applications 3.4 (1977), pp. 321–325. issn: 0898-1221.doi: https://doi.org/10.1016/0898-1221(77)90089-X. url: http://www.sciencedirect.com/science/article/pii/089812217790089X.
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Pandu R. Tadikamalla. “Computer Generation of Gamma Random Variables”. In:Commun. ACM 21.5 (May 1978), pp. 419–422. issn: 0001-0782. doi: 10.1145/359488.359505. url: http://doi.acm.org/10.1145/359488.359505. -R. C. H. Cheng and G. M. Feast. “Some Simple Gamma Variate Generators”. In:Journal of the Royal Statistical Society. Series C (Applied Statistics) 28.3 (1979),pp. 290–295. issn: 00359254, 14679876. url: http://www.jstor.org/stable/2347200.
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D. J. Best. “A note on gamma variate generators with shape parameter less than unity”. In: Computing 30.2 (June 1983), pp. 185–188. issn: 1436-5057. doi: 10.1007/BF02280789. url: https://doi.org/10.1007/BF02280789. -Rameshwar D. Gupta and Debasis Kundu. “Theory Methods: Generalized ex- ponential distributions”. In: Australian New Zealand Journal of Statistics 41.2 (1999), pp. 173–188. issn: 1467-842X. doi: 10.1111/1467- 842X.00072. url: http://dx.doi.org/10.1111/1467-842X.00072.
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George Marsaglia and Wai Wan Tsang. “A Simple Method for Generating Gamma Variables”. In: ACM Trans. Math. Softw. 26.3 (Sept. 2000), pp. 363–372. issn: 0098-3500. doi: 10.1145/358407.358414. url: http://doi.acm.org/10.1145/358407.358414.
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Debasis Kundu and Rameshwar D. Gupta. “A convenient way of generating gamma random variables using generalized exponential distribution”. In: Com- putational Statistics Data Analysis 51.6 (2007), pp. 2796–2802. issn: 0167-9473. doi: https://doi.org/10.1016/j.csda.2006.09.037. url: http://www.sciencedirect.com/science/article/pii/S0167947306003616.
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Hisashi Tanizaki. “”A Simple Gamma Random Number Generator for Arbitrary Shape Parameters.” In: Economics Bulletin 3.7 (2008), pp. 1–10. doi: http : //economicsbulletin.vanderbilt.edu/2008/volume3/EB-07C10012A.pdf.
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Chuanhai Liu, Ryan Martin, and Nick Syring. Simulating from a gamma distri- bution with small shape parameter. 2013. eprint: arXiv:1302.1884.