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

Bessel distributioncomparison of methodsDownton's bivariate exponential distributionMarkov chain Monte Carlo methodMCMCnon-central \(\chi^2\)numerical examplesrejection methodsimulation

Mathematics Subject Classification ID

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

Review text

The Bessel distribution can be useful in many applications, in particular in Bayesian problems where it appears as the posterior distribution. In this paper exact simulation schemes are proposed. The first one is based on certain properties of this distribution, while the other one uses standard rejection arguments. Moreover, the authors give some details about table lookup methods. All these schemes are compared numerically. An example illustrates the approach.

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Cited in

(8)

• Simulating bessel random variables
• Exact simulation of Bessel diffusions
• Testing for a class of bivariate exponential distributions
• Gamma expansion of the Heston stochastic volatility model
• 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

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