Computer simulation of geometric stable distributions

DOI10.1016/S0377-0427(99)00318-0zbMATH Open0952.65007MaRDI QIDQ1567360FDOQ1567360

Tomasz J. Kozubowski

Publication date: 5 June 2000

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stable distributionLinnik distributionheavy tailed distributiongeometric compound

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Random number generation in numerical analysis (65C10) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• A note on Linnik's distribution
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• Mixture representation of Linnik distribution revisited
• A multivariate Linnik distribution
• Laplace-Weibull Mixtures for Modeling Price Changes
• The theory of geometric stable distributions and its use in modeling financial data
• Linnik distributions and processes
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• Analytic and asymptotic properties of Linnik's probability densities. I
• On geometric-stable laws, a related property of stable processes, and stable densities of exponent one
• Geometric stable distributions in Banach spaces
• Integral and asymptotic representations of geo-stable densities

Cited In (7)

• Estimation and Simulation of the Riesz-Bessel Distribution
• Fractional Euler Limits and their Applications
• A Generalization to Bivariate Mittag–Leffler and Bivariate Discrete Mittag–Leffler Autoregressive Processes
• A stochastic method for solving time-fractional differential equations
• A characteristic function based circular distribution family and its goodness of fit : The flexible wrapped Linnik family
• Random numbers from the tails of probability distributions using the transformation method
• A class of discrete distributions induced by stable laws

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