G05SBF : NAG Library, Mark 24

3 Description

The beta distribution has PDF (probability density function)

\begin{array}{l} f (x) = \frac{Γ (a + b)}{Γ (a) Γ (b)} x^{a - 1} {(1 - x)}^{b - 1} & if 0 \leq x \leq 1; ​ a, b > 0, \\ f (x) = 0 & otherwise. \end{array}

One of four algorithms is used to generate the variates depending on the values of

a

and

b

. Let

α

be the maximum and

β

be the minimum of

a

and

b

. Then the algorithms are as follows:

(i)	if $α < 0.5$ , Johnk's algorithm is used, see for example Dagpunar (1988). This generates the beta variate as $u_{1}^{1 / a} / (\begin{matrix} u_{1}^{1 / a} + u_{2}^{1 / b} \end{matrix})$ , where $u_{1}$ and $u_{2}$ are uniformly distributed random variates;
(ii)	if $β > 1$ , the algorithm BB given by Cheng (1978) is used. This involves the generation of an observation from a beta distribution of the second kind by the envelope rejection method using a log-logistic target distribution and then transforming it to a beta variate;
(iii)	if $α > 1$ and $β < 1$ , the switching algorithm given by Atkinson (1979) is used. The two target distributions used are $f_{1} (x) = β x^{β}$ and $f_{2} (x) = α {(1 - x)}^{β - 1}$ , along with the approximation to the switching parameter of $t = (1 - β) / (α + 1 - β)$ ;
(iv)	in all other cases, Cheng's BC algorithm (see Cheng (1978)) is used with modifications suggested by Dagpunar (1988). This algorithm is similar to BB, used when $β > 1$ , but is tuned for small values of $a$ and $b$ .

One of the initialization routines G05KFF (for a repeatable sequence if computed sequentially) or G05KGF (for a non-repeatable sequence) must be called prior to the first call to G05SBF.

4 References

Atkinson A C (1979) A family of switching algorithms for the computer generation of beta random variates Biometrika 66 141–5

Cheng R C H (1978) Generating beta variates with nonintegral shape parameters Comm. ACM 21 317–322

Dagpunar J (1988) Principles of Random Variate Generation Oxford University Press

Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth

5 Parameters

1: N – INTEGERInput

On entry:

n

, the number of pseudorandom numbers to be generated.

Constraint:

N \geq 0

2: A – REAL (KIND=nag_wp)Input

On entry:

a

, the parameter of the beta distribution.

Constraint:

A > 0.0

3: B – REAL (KIND=nag_wp)Input

On entry:

b

, the parameter of the beta distribution.

Constraint:

B > 0.0

4: STATE(

*

) – INTEGER arrayCommunication Array

Note: the actual argument supplied must be the array STATE supplied to the initialization routines G05KFF or G05KGF.

On entry: contains information on the selected base generator and its current state.

On exit: contains updated information on the state of the generator.

5: X(N) – REAL (KIND=nag_wp) arrayOutput

On exit: the

n

pseudorandom numbers from the specified beta distribution.

6: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to

0

- 1 ​ or ​ 1

. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 ​ or ​ 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of IFAIL on exit.

On exit:

IFAIL = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

IFAIL = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

IFAIL = 1

On entry,

N < 0

IFAIL = 2

On entry,

A \leq 0.0

IFAIL = 3

On entry,

B \leq 0.0

IFAIL = 4

On entry,

STATE vector was not initialized or has been corrupted.

NAG Library Routine Document

G05SBF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Routine DocumentG05SBF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Routine Document

G05SBF