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. 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 algorithmwith 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:

Rectorate and Services > Rektorat
Rectorate and Services

Name:

Pfyffer, Samuel0000-0002-0225-4974 and
Gatto, Riccardo

Subjects:

Q Science > QA Mathematics

ISSN:

0943-4062

Language:

English

Submitter:

Samuel Pfyffer

Date Deposited:

19 Nov 2020 12:53

Last Modified:

19 Nov 2020 13:08

Publisher DOI:

10.1007/s00180-011-0297-6

ARBOR DOI:

10.24451/arbor.13056

URI:

https://arbor.bfh.ch/id/eprint/13056

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