Simulation from the bessel distribution with applications

DOI10.1080/0094965031000123124MaRDI QIDQ4444970zbMATH OpenOpenAlexFDO

Authors George Iliopoulos, Dimitris Karlis

Publication date 28 January 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0094965031000123124

zbMATH Keywords

MCMCsimulationnumerical examplesMarkov chain Monte Carlo methodrejection methodcomparison of methodsDownton's bivariate exponential distributionBessel distributionnon-central \(\chi^2\)

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(8)

• Estimation and Simulation of the Riesz-Bessel Distribution
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• Exact simulation of Bessel diffusions
• Simulating bessel random variables
• On the Bessel distribution and related problems
• Bayesian estimation in Kibble's bivariate gamma distribution
• Testing for a class of bivariate exponential distributions
• Gamma expansion of the Heston stochastic volatility model

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