Simulating bessel random variables

DOI10.1016/S0167-7152(02)00055-XMaRDI QIDQ1613075zbMATH OpenFDO

Authors Luc Devroye

Publication date 5 September 2002

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

Full work available at URL https://doi.org/10.1016/S0167-7152(02)00055-X

zbMATH Keywords

algorithmsBessel distributionexpected time analysismodified Bessel functionMonte-Carlo methodprobability inequalitiesrandom variate generationrejection methodsimulation

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Approximations to statistical distributions (nonasymptotic) (62E17) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Review text

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.

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Cites work

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Cited in

(29)

• Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.
• Sharp bounds for the ratio of modified Bessel functions
• Modeling fish population movements: from an individual-based representation to an advection-diffusion equation
• Parameter estimation for von Mises-Fisher distributions
• Gibbs samplers for logistic item response models via the Pólya-gamma distribution: a computationally efficient data-augmentation strategy
• Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems
• Assessing nonresponse bias in a business survey: proxy pattern-mixture analysis for skewed data
• Monotonicity and complete monotonicity of some functions involving the modified Bessel functions of the second kind
• The monotonicity and convexity for the ratios of modified Bessel functions of the second kind and applications
• Exact simulation of Bessel diffusions
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• Path integral pricing of Asian options on state-dependent volatility models
• Simulation from the bessel distribution with applications
• Backward simulation methods for pricing American options under the CIR process
• Monotonicity and convexity of the ratios of the first kind modified Bessel functions and applications
• An Extended Binomial Distribution with Applications
• Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
• Gamma expansion of the Heston stochastic volatility model
• Forward or backward simulation? A comparative study
• Simulating random variables using moment-generating functions and the saddlepoint approximation
• Bayesian estimation in Kibble's bivariate gamma distribution
• Estimation and Simulation of the Riesz-Bessel Distribution
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• On the Bessel distribution and related problems
• Convexity of ratios of the modified Bessel functions of the first kind with applications
• Bounds for ratios of modified Bessel functions and associated Turán-type inequalities
• Bounds for functions involving ratios of modified Bessel functions
• A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
• Rational bounds for the quotient of two modified Bessel functions of the first kind and their applications

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