An atlas of functions
Algorithm 708: Significant digit computation of the incomplete beta function ratios
ACM Transactions on Mathematical Software (TOMS)
Algorithm 222: Incomplete beta functions ratios
Communications of the ACM
Certification of algorithm 222: Incomplete beta function ratios
Communications of the ACM
Simulation Modeling and Analysis
Simulation Modeling and Analysis
Quasi-Monte Carlo methods in finance
WSC '04 Proceedings of the 36th conference on Winter simulation
Smoothness and dimension reduction in Quasi-Monte Carlo methods
Mathematical and Computer Modelling: An International Journal
Simulation of a Lévy process by PCA sampling to reduce the effective dimension
Proceedings of the 40th Conference on Winter Simulation
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
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We propose a fast algorithm for computing the inverse symmetrical beta distribution. Four series (two around x = 0 and two around x = 1/2) are used to approximate the distribution function, and its inverse is found via Newton's method. This algorithm can be used to generate beta random variates by inversion and is much faster than currently available general inversion methods for the beta distribution. It turns out to be very useful for generating gamma processes efficiently via bridge sampling.