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On the Bessel Distribution and Related Problems

Author

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  • Lin Yuan
  • John Kalbfleisch

Abstract

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Suggested Citation

  • Lin Yuan & John Kalbfleisch, 2000. "On the Bessel Distribution and Related Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 438-447, September.
    • Handle: RePEc:spr:aistmt:v:52:y:2000:i:3:p:438-447
    DOI: 10.1023/A:1004152916478
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    Citations

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    Cited by:

    1. Roberto León-González, 2019. "Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 899-920, September.
    2. T. Pellegrino & P. Sabino, 2015. "Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 761-772, May.
    3. Makarov Roman N. & Glew Devin, 2010. "Exact simulation of Bessel diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 16(3-4), pages 283-306, January.
    4. Árpád Baricz, 2014. "Remarks on a parameter estimation for von Mises–Fisher distributions," Computational Statistics, Springer, vol. 29(3), pages 891-894, June.
    5. Ian Iscoe & Asif Lakhany, 2011. "Adaptive Simulation of the Heston Model," Papers 1111.6067, arXiv.org.
    6. 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.
    7. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.
    8. Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
    9. S. T. Tse & Justin W. L. Wan, 2013. "Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 919-937, May.
    10. Kurt Hornik & Bettina Grün, 2014. "On maximum likelihood estimation of the concentration parameter of von Mises–Fisher distributions," Computational Statistics, Springer, vol. 29(5), pages 945-957, October.

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