NAG Library Function Document
nag_rand_von_mises (g05src) generates a vector of pseudorandom numbers from a von Mises distribution with concentration parameter .
||nag_rand_von_mises (Integer n,
The von Mises distribution is a symmetric distribution used in the analysis of circular data. The PDF (probability density function) of this distribution on the circle with mean direction
and concentration parameter
, can be written as:
is reduced modulo
. For very small
the distribution is almost the uniform distribution, whereas for
all the probability is concentrated at one point.
, are generated using an envelope rejection method with a wrapped Cauchy target distribution as proposed by Best and Fisher (1979)
and described by Dagpunar (1988)
One of the initialization functions nag_rand_init_repeatable (g05kfc)
(for a repeatable sequence if computed sequentially) or nag_rand_init_nonrepeatable (g05kgc)
(for a non-repeatable sequence) must be called prior to the first call to nag_rand_von_mises (g05src).
Best D J and Fisher N I (1979) Efficient simulation of the von Mises distribution Appl. Statist. 28 152–157
Dagpunar J (1988) Principles of Random Variate Generation Oxford University Press
Mardia K V (1972) Statistics of Directional Data Academic Press
n – IntegerInput
On entry: , the number of pseudorandom numbers to be generated.
vk – doubleInput
On entry: , the concentration parameter of the required von Mises distribution.
state – IntegerCommunication Array
the actual argument supplied must be the array state
supplied to the initialization functions nag_rand_init_repeatable (g05kfc)
or nag_rand_init_nonrepeatable (g05kgc)
On entry: contains information on the selected base generator and its current state.
On exit: contains updated information on the state of the generator.
x[n] – doubleOutput
On exit: the pseudorandom numbers from the specified von Mises distribution.
fail – NagError *Input/Output
The NAG error argument (see Section 3.6
in the Essential Introduction).
6 Error Indicators and Warnings
On entry, argument had an illegal value.
On entry, .
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG
On entry, state
vector has been corrupted or not initialized.
For a given number of random variates the generation time increases slightly with increasing .
This example prints the first five pseudorandom numbers from a von Mises distribution with
, generated by a single call to nag_rand_von_mises (g05src), after initialization by nag_rand_init_repeatable (g05kfc)
9.1 Program Text
Program Text (g05srce.c)
9.2 Program Data
9.3 Program Results
Program Results (g05srce.r)