IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v57y2002i3p249-257.html
   My bibliography  Save this article

Simulating Bessel random variables

Author

Listed:
  • Devroye, Luc

Abstract

In 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.

Suggested Citation

  • Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
  • Handle: RePEc:eee:stapro:v:57:y:2002:i:3:p:249-257
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(02)00055-X
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    3. Roberto Leon-Gonzalez, 2018. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 17-16, National Graduate Institute for Policy Studies.
    4. Roberto Leon-Gonzalez, 2014. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," Working Paper series 19_14, Rimini Centre for Economic Analysis.
    5. 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.
    6. 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.
    7. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:57:y:2002:i:3:p:249-257. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.