NAG Library Routine Document

G05SBF

(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, $N = 〈value〉$ .
Constraint: $N \geq 0$ .

$IFAIL = 2$: On entry, $A = 〈value〉$ .
Constraint: $A > 0.0$ .

$IFAIL = 3$: On entry, $B = 〈value〉$ .
Constraint: $B > 0.0$ .

$IFAIL = 4$: On entry, STATE vector has been corrupted or not initialized.

$IFAIL = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.8 in the Essential Introduction for further information.

$IFAIL = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 3.7 in the Essential Introduction for further information.

$IFAIL = - 999$: Dynamic memory allocation failed.
See Section 3.6 in the Essential Introduction for further information.

7 Accuracy

Not applicable.

8 Parallelism and Performance

G05SBF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

To generate an observation,

y

, from the beta distribution of the second kind from an observation,

x

, generated by G05SBF the transformation,

y = x / (1 - x)

, may be used.

10 Example

This example prints a set of five pseudorandom numbers from a beta distribution with parameters

a = 2.0

and

b = 2.0

, generated by a single call to G05SBF, after initialization by G05KFF.

NAG Library Routine DocumentG05SBF

▸▿ Contents

1 Purpose

2 Specification

3 Description