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

Pfyffer, Samuel; Gatto, Riccardo (2013). An efficient simulation algorithm for the generalized von Mises distribution of order two. Computational Statistics, 28(1), pp. 255-268. Springer-Verlag 10.1007/s00180-011-0297-6

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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.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Physics Institute > Space Research and Planetary Sciences
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Pfyffer, Samuel Moses and Gatto, Riccardo

Subjects:

500 Science > 510 Mathematics
500 Science > 520 Astronomy
600 Technology > 620 Engineering

ISSN:

1613-9658

Publisher:

Springer-Verlag

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

12 Mar 2014 08:49

Last Modified:

16 Nov 2018 14:52

Publisher DOI:

10.1007/s00180-011-0297-6

BORIS DOI:

10.7892/boris.41518

URI:

https://boris.unibe.ch/id/eprint/41518

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