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Simulating Bessel random variables

✍ Scribed by Luc Devroye

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 115 KB
Volume: 57
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(02)00055-x

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✦ Synopsis

In this paper, we discuss e cient 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.

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