This article is cited 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

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.

UDC: 519.676

Received: 14.09.2007
Revised: 14.04.2008

 English version: Computational Mathematics and Mathematical Physics, 2008, 48:12, 2266–2275

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