Simulation from the bessel distribution with applications (Q4444970)
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scientific article; zbMATH DE number 2034346
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| English | Simulation from the bessel distribution with applications |
scientific article; zbMATH DE number 2034346 |
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Simulation from the bessel distribution with applications (English)
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28 January 2004
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Bessel distribution
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simulation
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rejection method
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non-central \(\chi^2\)
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Downton's bivariate exponential distribution
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Markov chain Monte Carlo method
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MCMC
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numerical examples
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comparison of methods
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0.8790632486343384
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0.8134443759918213
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0.7653756141662598
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0.757210373878479
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0.7567286491394043
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The Bessel distribution can be useful in many applications, in particular in Bayesian problems where it appears as the posterior distribution. In this paper exact simulation schemes are proposed. The first one is based on certain properties of this distribution, while the other one uses standard rejection arguments. Moreover, the authors give some details about table lookup methods. All these schemes are compared numerically. An example illustrates the approach.
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