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

DOI10.1016/J.SPL.2009.07.028MaRDI QIDQ1036738zbMATH OpenOpenAlexFDO

Authors Luc Devroye

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

zbMATH Keywords

algorithmsBessel processesBrownian bridgeBrownian excursionBrownian meanderalternating series methoddistributions Jacobi theta functionrandom 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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• On a problem connected with quadratic regression
• On the Altitude of Nodes in Random Trees
• On the distribution of ranked heights of excursions of a Brownian bridge.
• On the height of trees
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
• Selfdecomposable Laws Associated with Hyperbolic Functins
• Simulating theta random variates
• Simulation of Brownian motion at first-passage times
• Stable densities under change of scale and total variation inequalities
• The Galton-Watson process conditioned on the total progeny
• The Series Method for Random Variate Generation and Its Application to the Kolmogorov-Smirnov Distribution
• The average height of binary trees and other simple trees
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• The law of the maximum of a Bessel bridge
• The probability law for the sum of 𝑛 independent variables, each subject to the law (1/\vphantom{1(2ℎ)}.\kern-\nulldelimiterspace(2ℎ))𝑠𝑒𝑐ℎ(𝜋𝑥/\vphantom{𝜋𝑥(2ℎ)}.\kern-\nulldelimiterspace(2ℎ))
• Weak convergence to Brownian meander and Brownian excursion

Cited in

(10)

• A double Pólya-Gamma data augmentation scheme for a hierarchical negative binomial-binomial data model
• 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
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• Block Gibbs samplers for logistic mixed models: convergence properties and a comparison with full Gibbs samplers
• Hyperbolic cosine ratio and hyperbolic sine ratio random fields
• An introduction to survival models: in honor of Ross Prentice
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Complexity Questions in Non-Uniform Random Variate Generation
• Bayesian analysis of dynamic linear topic models
• On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders

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