Simulating Bessel random variables

Luc Devroye

Statistics & Probability Letters, 2002, vol. 57, issue 3, 249-257

Abstract: In this paper, we discuss efficient exact random variate generation for the Bessel distribution. The expected time of the algorithm is uniformly bounded over all choices of the parameters, and the algorithm avoids any computation of Bessel functions or Bessel ratios.

Keywords: Random; variate; generation; Bessel; distribution; Rejection; method; Simulation; Monte; Carlo; method; Expected; time; analysis; Probability; inequalities (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (11)

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