NDLI: An efficient simulation algorithm for the generalized von Mises distribution of order two

Content Provider	Springer Nature Link
Author	Gatto, Riccardo Pfyffer, Samuel
Copyright Year	2011
Abstract	In this article we propose an exact efficient simulation algorithm for the generalized von Mises circular distribution of order two. It is an acceptance-rejection algorithm with a piecewise linear envelope based on the local extrema and the inflexion points of the generalized von Mises density of order two. We show that these points can be obtained from the roots of polynomials and degrees four and eight, which can be easily obtained by the methods of Ferrari and Weierstrass. A comparative study with the von Neumann acceptance-rejection, with the ratio-of-uniforms and with a Markov chain Monte Carlo algorithms shows that this new method is generally the most efficient.
Ending Page	268
Page Count	14
Starting Page	255
File Format	PDF
ISSN	09434062
e-ISSN	16139658
Journal	Computational Statistics
Issue Number	1
Volume Number	28
Language	English
Publisher	Springer-Verlag
Publisher Date	2011-12-31
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Acceptance-rejection algorithm Ratio-of-uniforms algorithm Piecewise linear envelope Probability Theory and Stochastic Processes Bimodality Circular distribution Directional data; spatial statistics Statistics Methods of Ferrari and Weierstrass Markov chain Monte Carlo Economic Theory Random number generation Probability and Statistics in Computer Science
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty Computational Mathematics

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