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.