Simulating Bessel random variables
AbstractIn this paper, we discuss efficient exact random variate generation for the Bessel distribution. The expected time of the algorithm is uniformly bounded over all choices of the parameters, and the algorithm avoids any computation of Bessel functions or Bessel ratios.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 57 (2002)
Issue (Month): 3 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Lin Yuan & John Kalbfleisch, 2000. "On the Bessel Distribution and Related Problems," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(3), pages 438-447, September.
- Akihiro Tanabe & Kenji Fukumizu & Shigeyuki Oba & Takashi Takenouchi & Shin Ishii, 2007. "Parameter estimation for von Mises–Fisher distributions," Computational Statistics, Springer, vol. 22(1), pages 145-157, April.
- Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
- Fotopoulos, Stergios B. & Jandhyala, Venkata K., 2004. "Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 117-125, January.
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