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Efficient Simulation of the von Mises Distribution

Author

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  • D. J. Best
  • N. I. Fisher

Abstract

An algorithm is given to simulate samples from the von Mises distribution. A wrapped Cauchy density is used as an envelope to give an acceptance–rejection method which is both simple to program and fast for all values of the concentration parameter of the von Mises distribution.

Suggested Citation

  • D. J. Best & N. I. Fisher, 1979. "Efficient Simulation of the von Mises Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 28(2), pages 152-157, June.
    • Handle: RePEc:bla:jorssc:v:28:y:1979:i:2:p:152-157
    DOI: 10.2307/2346732
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    Cited by:

    1. Sabelfeld Karl K., 2017. "Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems," Monte Carlo Methods and Applications, De Gruyter, vol. 23(3), pages 189-212, September.
    2. Toru Kitagawa & Jeff Rowley, 2022. "von Mises-Fisher distributions and their statistical divergence," Papers 2202.05192, arXiv.org, revised Nov 2022.
    3. Kanti Mardia, 2010. "Bayesian analysis for bivariate von Mises distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(3), pages 515-528.
    4. Hendriks, Harrie & Landsman, Zinoviy, 1998. "Mean Location and Sample Mean Location on Manifolds: Asymptotics, Tests, Confidence Regions," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 227-243, November.
    5. Cao, Meng & Sharma, Mukul M., 2023. "Effect of fracture geometry, topology and connectivity on energy recovery from enhanced geothermal systems," Energy, Elsevier, vol. 282(C).
    6. Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
    7. Hegemann, Rachel A. & Smith, Laura M. & Barbaro, Alethea B.T. & Bertozzi, Andrea L. & Reid, Shannon E. & Tita, George E., 2011. "Geographical influences of an emerging network of gang rivalries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3894-3914.

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