I'm looking for an effective method to sample from a Gamma distribution that has the shape parameter not integer.
However, I found everywhere the method to sample from a Gamma with an integer shape (that is as a matter of fact an Erlang distribution).
I found this paper about an method for sampling from a Gamma. Unfortunately, I don't understand how to implement it!
Any suggestion?
Best Answer
See Devroye "Non-Uniform Random Variate Generation" Section IX.3.2 (it is freely available online). Several algorithms are explained in detail there with pseudo-code, so it will be quick to code.
-- Monseigneur Myriel