Generating random variates from a bicompositional Dirichlet distribution

Bergman, Jakob (författare): Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM

(creator_code:org_t)

Informa UK Limited, 2012
2012
Engelska.
Ingår i: Journal of Statistical Computation and Simulation. - : Informa UK Limited. - 1563-5163 .- 0094-9655. ; 82:6, s. 797-805

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Abstract Ämnesord

Stäng

A composition is a vector of positive components summing to a constant. The sample space of a composition is the simplex and the sample space of two compositions, a bicomposition, is a Cartesian product of two simplices. We present a way of generating random variates from a bicompositional Dirichlet distribution defined on the Cartesian product of two simplices using the rejection method. We derive a general solution for finding a dominating density function and a rejection constant, and also compare this solution to using a uniform dominating density function. Finally some examples of generated bicompositional random variates, with varying number of components, are presented.

Om ämnet

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