On exact simulation algorithms for some distributions related to Jacobi theta functions

DOI10.1016/J.SPL.2009.07.028zbMATH Open1177.65014OpenAlexW1970613714MaRDI QIDQ1036738FDOQ1036738

Publication date: 13 November 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.028

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algorithms Bessel processes Brownian bridge Brownian excursion Brownian meander alternating series method distributions Jacobi theta function random variate genera tors

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Random number generation in numerical analysis (65C10) Brownian motion (60J65) Pseudo-random numbers; Monte Carlo methods (11K45)

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Cited In (10)

Block Gibbs samplers for logistic mixed models: convergence properties and a comparison with full Gibbs samplers
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An introduction to survival models: in honor of Ross Prentice
A double Pólya-Gamma data augmentation scheme for a hierarchical negative binomial-binomial data model
Steady-state simulation of reflected Brownian motion and related stochastic networks
The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula
Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders

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