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)

zbMATH Keywords

algorithmssimulationexpected time analysisMonte-Carlo methodprobability inequalitiesrandom variate generationrejection methodmodified Bessel functionBessel distribution

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• A decomposition of Bessel Bridges
• A one-table method for sampling from continuous and discrete distributions
• A simple generator for discrete log-concave distributions
• A universal generator for discrete log-concave distributions
• Automatic sampling with the ratio-of-uniforms method
• Computation of Modified Bessel Functions and Their Ratios
• Computer Generation of Distributions on the m-Sphere
• Control Variables with Known Mean and Variance
• Efficient Simulation of the von Mises Distribution
• On the Bessel distribution and related problems
• Simulation of the von mises fisher distribution
• The ratio of uniforms approach for generating discrete random variates

Cited in

(28)

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

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