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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2008, Volume 48, Number 12, Pages 2237–2246 (Mi zvmmf77)  
This article is cited in 1 scientific paper (total in 1 paper)

The use of order statistic numerical simulation algorithms

A. V. Voitishek, A. P. Myasnikov, L. E. Saneev

Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akademika Lavrent'eva 6, Novosibirsk, 630090, Russia
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Abstract: A modification of the standard algorithm for the simulation of order statistics for a uniform distribution is proposed that uses confidence intervals. It is found that one of the applications of the algorithms for the simulation of order statistics (namely, simulation of the beta distribution with integer parameters) gives more efficient methods for the simulation of order statistics than the algorithm based on confidence intervals. It is shown that the resulting algorithm can be used for the efficient simulation of random variables with polynomial density and of beta distributed random variables with large noninteger parameters.
Key words: order statistics, numerical simulation, beta distribution, Bernstein polynomials, polynomial distribution density, rejection method, Kondyurin's algorithm.
Received: 14.09.2007
Revised: 14.04.2008
English version:
Computational Mathematics and Mathematical Physics, 2008, Volume 48, Issue 12, Pages 2266–2275
DOI: https://doi.org/10.1134/S0965542508120154
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: A. V. Voitishek, A. P. Myasnikov, L. E. Saneev, “The use of order statistic numerical simulation algorithms”, Zh. Vychisl. Mat. Mat. Fiz., 48:12 (2008), 2237–2246; Comput. Math. Math. Phys., 48:12 (2008), 2266–2275
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
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