On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
From MaRDI portal
Publication:1916248
DOI10.1016/0167-7152(95)00113-1zbMATH Open0856.60022OpenAlexW2030026750WikidataQ56456756 ScholiaQ56456756MaRDI QIDQ1916248FDOQ1916248
Authors: Rafał Weron 
Publication date: 1 September 1996
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(95)00113-1
Recommendations
Infinitely divisible distributions; stable distributions (60E07) Random number generation in numerical analysis (65C10)
Cites Work
- A Method for Simulating Stable Random Variables
- A triptych of discrete distributions related to the stable law
- Title not available (Why is that?)
- Stable densities under change of scale and total variation inequalities
- A note on Linnik's distribution
- Title not available (Why is that?)
- A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
- Title not available (Why is that?)
- The study of a function relating to stable distributions
Cited In (71)
- Dynamical complexity of FitzHugh-Nagumo neuron model driven by Lévy noise and Gaussian white noise
- Effects of Lévy noise on the dynamics of sine-Gordon solitons in long Josephson junctions
- Some pathological regression asymptotics under stable conditions
- State observer for stochastic resonance in bistable system
- A simple estimator for the characteristic exponent of the stable Paretian distribution
- On simulation and properties of the stable law
- Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians
- A simple robust estimation method for the thickness of heavy tails
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Estimation and Simulation of the Riesz-Bessel Distribution
- Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
- The distribution of test statistics for outlier detection in heavy-tailed samples
- Monte Carlo Methods for Radiative Transfer with Singular Kernels
- Option pricing in subdiffusive Bachelier model
- Parameter estimation for one-sided heavy-tailed distributions
- SIR model of epidemic spread with accumulated exposure
- Epidemics with short and long-range interactions: role of vector dispersal patterns
- A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
- Anomalous diffusion in nonhomogeneous media: power spectral density of signals generated by time-subordinated nonlinear Langevin equations
- Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
- An asymmetric multivariate weibull distribution
- Discrimination of particulate matter emission sources using stochastic methods
- Characterizing anomalous diffusion by studying displacements
- Finite sample distributions of self-normalized sums
- Black-Scholes formula in subdiffusive regime
- Applications of the characteristic function-based continuum GMM in finance
- An accurate European option pricing model under fractional stable process based on Feynman path integral
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Modeling and simulation of financial returns under non-Gaussian distributions
- Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
- Adaptivity in convolution models with partially known noise distribution
- On the applicability of the random walk model with stable steps for forecasting the dynamics of prices of financial tools in the Russian market
- Lévy noise effects on Josephson junctions
- Stable Lévy motion approximation in collective risk theory
- Stochastic resonance of a tri-stable system with \(\alpha\) stable noise
- A framework for analyzing the robustness of movement models to variable step discretization
- Maximum likelihood estimation of stable Paretian models.
- The phase transition in a bistable Duffing system driven by Lévy noise
- Modulating bifurcations in a self-sustained birhythmic system by \(\alpha\)-stable Lévy noise and time delay
- Coherence and stochastic resonance in the fractional-birhythmic self-sustained system subjected to fractional time-delay feedback and Lévy noise
- Exact confidence sets and goodness-of-fit methods for stable distributions
- Truncated stable random variables characterization and simulation
- On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
- Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles
- Langevin picture of subdiffusion with infinitely divisible waiting times
- Lévy noise-driven escape from arctangent potential wells
- Conformal accelerations method and efficient evaluation of stable distributions
- Transport of self-propelled Janus particles confined in corrugated channel with Lévy noise
- Dynamical behavior of simplified Fitzhugh-Nagumo neural system driven by Lévy noise and Gaussian white noise
- A low complexity robust detector in impulsive noise
- Computer simulation of geometric stable distributions
- Noise-induced transition in an underdamped asymmetric bistable system driven by Lévy noise
- Multiple-relaxation-time lattice Boltzmann scheme for fractional advection-diffusion equation
- On two approaches to approximation of multidimensional stable laws
- A genetic programming approach based on Lévy flight applied to nonlinear identification of a poppet valve
- Lévy noise-induced transition and stochastic resonance in a tumor growth model
- Multimodal stationary states in symmetric single-well potentials driven by Cauchy noise
- On highly skewed fractional log‐stable noise sequences and their application
- Stochastic resonance in multi-stable system driven by Lévy noise
- Warp statistics and financial returns
- Role of long jumps in Lévy noise-induced multimodality
- Escape from bounded domains driven by multivariateα-stable noises
- Stochastic resonance characteristic analysis of new potential function under levy noise and bearing fault detection
- Joint density of the stable process and its supremum: regularity and upper bounds
- Levy noise-driven stochastic resonance in a coupled monostable system
- Environmental Stochasticity Driving the Extinction of Top Predators in a Food Chain Chemostat Model
- Dynamical behavior of simplified FitzHugh–Nagumo neural system with time delay driven by Lévy noise
- A new approach for extracting the amplitude spectrum of the seismic wavelet from the seismic traces
- The Lévy noise-induced current reversal phenomenon for self-propelled particles in a two-dimensional potential
- Resetting induced multimodality
This page was built for publication: On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1916248)
