0
$\begingroup$

In a computer program (written in C++), given $x\in[0,1)$ and $\sigma>0$, I need to sample $y$ from the wrapped normal distribution $\mathcal W_{x,\:\sigma^2}$ with mean $x$ and variance $\sigma^2$ and evaluate the density $q$ of $\mathcal W_{x,\:\sigma^2}$ at $y$ at the same time.

If $\varphi_{\sigma^2}$ denotes the density of the normal distribution with mean $0$ and variance $\sigma^2$ and $$\psi_{\sigma^2}(y):=\sum_{k\in\mathbb Z}\varphi_{\sigma^2}(k+y)\;\;\;\text{for }y\in\mathbb R,$$ then $$q(y):=\psi_{\sigma^2}(y-x)\;\;\;\text{for }y\in[0,1)$$ is the density of $\mathcal W_{x,\:\sigma^2}$ with respect to the Lebesgue measure.

We can sample $y$ by drawing $\xi\sim\mathcal N_{0,\:1}$, setting $z:=x+\sigma\xi$ and $y:=z-\lfloor z\rfloor$. But now I would need to evaluate $q(y)$ separately.

So, my question is: Can we somehow sample $y$ in a clever way such that we obtain $q(y)$ as a byproduct? If not, how should we evaluate $q(y)$ (the problematic thing being that it's an infinite sum)?

$\endgroup$
  • $\begingroup$ It's an infinite sum, but for $\sigma$ not much larger than $1$, it will converge pretty quickly. Consider $\sigma = 2$ and $y = 1/2$; the 10th term is $\sim 2.5\times 10^{-6}$, and subsequent terms decrease by more than a factor of $10$. With $\sigma = 1$, the sixth term is $\sim 10^{-7}$ and the seventh $\sim 3\times 10^{-10}$, for example. $\endgroup$ – jbowman Jan 8 at 16:56
  • $\begingroup$ @jbowman So, should I sum from $k=0,1,2,\ldots$ adding up $a_k:=\varphi_{\sigma^2}(y+k)$ and $b_k:=\varphi_{\sigma^2}(y-k)$ and stop once $a_k<\epsilon$ for some suitable $\epsilon$ (maybe $\epsilon=10^{-6}$?)? Or should I check $b_k$ as well? $\endgroup$ – 0xbadf00d Jan 8 at 20:00
  • $\begingroup$ When $\sigma$ is only a little larger than $1,$ for all practical computational purposes this density is uniform: see the last method at stats.stackexchange.com/a/117711/919. For smaller $\sigma,$ as @jbowman indicates, the sum converges very rapidly. It is a theta function; some software includes procedures to evaluate it (buried, for instance, in the KS test). $\endgroup$ – whuber Jan 8 at 20:13
  • $\begingroup$ @whuber Thank you for your comment. The $\sigma$ I've got in mind is smaller than $1$, e.g. $\sigma=0.01$. $\endgroup$ – 0xbadf00d Jan 8 at 20:18
  • 1
    $\begingroup$ Then you can evaluate the density anywhere with a single term of the series! (At many points--more than about $0.05$ from the mean--you don't need any terms at all, because the density is practically zero there.) $\endgroup$ – whuber Jan 8 at 20:20

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.