Methods for generating random variates with Polya characteristic functions

DOI10.1016/0167-7152(84)90061-0MaRDI QIDQ1060522zbMATH OpenOpenAlexFDO

Authors Luc Devroye

Publication date 1984

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(84)90061-0

zbMATH Keywords

convexityLinnik's distributionPolya-characteristic functionssymmetric stable distributions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Random number generation in numerical analysis (65C10)

Review text

This paper shows that there exists a simple general method of random variate generation for distributions with Polya-characteristic functions; i.e. real even continuous functions \(\phi\) with \(\phi (0)=1\), \(\lim_{t\to \infty}\phi (t)=0,\) convex on (0,\(\infty)\). The procedure requires the explicit knowledge of \(\phi\) and at least one derivative of \(\phi\), but no knowledge of explicit form of the density or distribution function. As examples, the symmetric stable distributions, Linnik's distribution and a few other distributions are discussed.

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Cited in

(7)

• On random variate generation when only moments of Fourier coefficients are known
• On simulation and properties of the stable law
• Random variate generation for exponentially and polynomially tilted stable distributions
• An Automatic Method for Generating Random Variates with a Given Characteristic Function
• Characteristic functional for one class of non-Gaussian random functions
• Universal methods for generating random variables with a given characteristic function
• Lamperti-type laws

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