On the Efficient Generation of -- and -- White Samples with Applications

Algorithm 2

Definitive algorithm.

(1) Define the distribution parameters

(2) Find , solving

(3) Find

(4) Find , with

(5) Generate from the distribution with density function

(6) Generate from a distribution

(7) if    then

(8)  as the desired sample

(9) else

(10) Return to Step  5

(11) end if

(12) Make the transformation to obtain -- samples or

  Make the transformation to obtain -- samples