101. Simulation from the bessel distribution with applications
- Author
-
Dimitris Karlis and George Iliopoulos
- Subjects
Statistics and Probability ,Statistics::Theory ,Inverse-chi-squared distribution ,Exponential distribution ,Applied Mathematics ,Noncentral chi-squared distribution ,Markov chain Monte Carlo ,Three-point estimation ,Variance-gamma distribution ,Ratio distribution ,symbols.namesake ,Joint probability distribution ,Modeling and Simulation ,symbols ,Calculus ,Applied mathematics ,Statistics, Probability and Uncertainty ,Mathematics - Abstract
The Bessel distribution, introduced recently by Yuan and Kalbfleisch (Ann. Inst. Math. Statist., 2000), can be useful in many applications. In particular, this distribution appears in two Bayesian estimation problems, namely, estimation of the noncentrality parameter of a noncentral chi-square distribution and of the parameters of Downton's bivariate exponential distribution. Implementation of Markov chain Monte Carlo algorithms requires generation of observations from the Bessel distribution. In this paper we propose and compare exact simulation schemes generating Bessel variates based on certain properties of the distribution as well as the rejection method.
- Published
- 2003