The routine may be called by the names g05srf or nagf_rand_dist_vonmises.
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:
where is reduced modulo so that and . For very small the distribution is almost the uniform distribution, whereas for all the probability is concentrated at one point.
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 g05srf.
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
1: – IntegerInput
On entry: , the number of pseudorandom numbers to be generated.
2: – Real (Kind=nag_wp)Input
On entry: , the concentration parameter of the required von Mises distribution.
3: – 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.
4: – Real (Kind=nag_wp) arrayOutput
On exit: the pseudorandom numbers from the specified von Mises distribution.
5: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
On entry, state vector has been corrupted or not initialized.
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
g05srf 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.
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 g05srf, after initialization by g05kff.