Inverting the symmetrical beta distribution-Reference-Cited by-同舟云学术

Inverting the symmetrical beta distribution

Published:2006-12 Issue:4 Volume:32 Page:509-520
ISSN:0098-3500
Container-title:ACM Transactions on Mathematical Software
language:en
Short-container-title:ACM Trans. Math. Softw.

Author:

L'Ecuyer Pierre¹,Simard Richard¹

Affiliation:

1. Université de Montréal, Montréal, Canada

Abstract

We propose a fast algorithm for computing the inverse symmetrical beta distribution. Four series (two around x = 0 and two around x = 1/2) are used to approximate the distribution function, and its inverse is found via Newton's method. This algorithm can be used to generate beta random variates by inversion and is much faster than currently available general inversion methods for the beta distribution. It turns out to be very useful for generating gamma processes efficiently via bridge sampling.

Publisher

Association for Computing Machinery (ACM)

Subject

Applied Mathematics,Software

Link

https://dl.acm.org/doi/pdf/10.1145/1186785.1186786

Reference18 articles.

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