Multinomial distribution with parameters m, k, and a probability vector p. Random numbers of the multinomial distribution are generated by Poisson Approximation method (see [Charles93] for details).
- In the first stage, k independent Poisson values (X1...Xk) are generated by the POISSNORM method.
- Let m* denote sum of the generated k Poisson variates:
- If m*=m, the first-stage sample has the required distribution.
- If m*>m, the sample is discarded and the first stage is repeated.
- If m*<m, m*-m observations are generated by the Direct method (see [Charles93] for details):
- m*-m uniformly distributed independent random variates Ui are generated on the interval (0, 1).
- The component Xi is incremented by 1 if
See Intel® MKL Vector Statistics Random Number Generator Performance Data for test results summary and performance graphs.