Computer simulation of geometric stable distributions

DOI10.1016/S0377-0427(99)00318-0MaRDI QIDQ1567360zbMATH OpenFDO

Authors 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)

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Cites work

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• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• A mixture representation of the Linnik distribution
• A multivariate Linnik distribution
• A note on Linnik's distribution
• Analytic and asymptotic properties of Linnik's probability densities. I
• Exponential mixture representation of geometric stable distributions
• Geometric stable distributions in Banach spaces
• Integral and asymptotic representations of geo-stable densities
• Laplace-Weibull Mixtures for Modeling Price Changes
• Linnik distributions and processes
• Mixture representation of Linnik distribution revisited
• Mixture representations for symmetric generalized Linnik laws
• Modeling asset returns with alternative stable distributions^*
• On Mittag-Leffler functions and related distributions
• On geometric-stable laws, a related property of stable processes, and stable densities of exponent one
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• The theory of geometric stable distributions and its use in modeling financial data

Cited in

(11)

• On simulating truncated stable random variables
• Estimation and Simulation of the Riesz-Bessel Distribution
• A class of discrete distributions induced by stable laws
• Exponential mixture representation of geometric stable distributions
• Fractional Euler limits and their applications
• A stochastic method for solving time-fractional differential equations
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• A generalization to bivariate Mittag-Leffler and bivariate discrete Mittag-Leffler autoregressive processes
• A method for simulating stable random vectors
• 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

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