Simulating bessel random variables
Citations
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Cites methods from "Simulating bessel random variables"
...Devroye [13] proposed and analyzed fast acceptance-rejection algorithms for sampling Bessel random variables; Iliopoulos et al....
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References
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"Simulating bessel random variables" refers background in this paper
...Poisson variates can be generated in expected time uniformly bounded in the parameters (see Devroye (1986), Hörmann (1993, 1994), Stadlober (1990), and Ahrens and Dieter (1991))....
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...See pages 489–493 of Devroye (1986) on how to avoid computing the gamma function in rejection algorithms....
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3,217 citations
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"Simulating bessel random variables" refers background or methods in this paper
...1991 Mathematics Subject Classifications: Primary 65C10....
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...It arises in a natural way in the theory of stochastic processes (Pitman and Yor, 1982), and is related to many other distributions, including multivariate and randomized gamma distributions and the von Mises-Fisher distribution (Yuan and Kalbfleisch, 2000)....
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...At that point, the random variate Y is distributed as a Bessel (ν, a) random variate (Yuan and Kalbfleisch, 2000, p. 439)....
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...Generator for the standard squared Bessel bridge process This process on [0, 1], denoted by ξ(t), conditional on ξ(0) = a, ξ(1) = b, and with parameter ν > −1, is studied by Pitman and Yor (1982)....
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207 citations
"Simulating bessel random variables" refers methods in this paper
...A uniformly fast algorithm for this distribution was derived by Best and Fisher (1979), with alternate methods proposed later by Dagpunar (1990), Barabesi (1993) and Wood (1994)....
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...In our case, three non-standard functions are involved, Γ (in the computation of pn), Iν(a) (in the computation of pn), and Rν(a) (in the computation of µ and σ 2)....
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