A use of algorithms for numerical modeling of order statistics

Voytishek Anton, Myasnikov Alexandr and Saneev Leonid
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Voytishek Anton: Institute of Computational Mathematics and Mathematical Geophysics SD RAS, Lavrentieva 6, 630090 Novosibirsk, Russia. Email: vav@osmf.sscc.ru
Myasnikov Alexandr: Department of Mechanics and Mathematics, Novosibirsk State University, Pirogova 2, Novosibirsk, Russia.
Saneev Leonid: Department of Mechanics and Mathematics, Novosibirsk State University, Pirogova 2, Novosibirsk, Russia.

Monte Carlo Methods and Applications, 2008, vol. 13, issue 5-6, 467-483

Abstract: In this paper a modification of the standard algorithm for the order statistics modeling, tied with the usage of confidence intervals is proposed. A study of applications of the standard algorithm for the order statistics modeling leads us to a conclusion that one of these applications (namely, the modeling of beta-distribution with integer parameters) gives the most effective algorithm for the order statistics modeling. A possibility to use the constructed algorithms in numerical modeling of random variables with polynomial distribution, as well as the beta-distribution with non-integer parameters, is shown.

Keywords: Order statistic; numerical modeling; beta-distribution; Bernstein polynomials; polynomial distribution; rejection technique; Kondurin's algorithm (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1515/mcma.2007.024

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