Simulating bessel random variables (Q1613075)

The Bessel distribution is a discrete distribution on \(\{0,1,2,\dots\}\) and got perhaps its name, because its normalizing constant is a value of a modified Bessel function. The author proposes exact algorithms for simulating this distribution. These algorithms are of rejection type. Some of them avoid even the calculation of Bessel function values. The expected simulation time is uniformly bounded over the parameter space. Some hints are given for simulation of related distributions (von Mises, randomized gamma). A rich list of references, moreover richly commented, is given.