Random numbers from the tails of probability distributions using the transformation method
From MaRDI portal
Publication:2347310
Recommendations
- The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
- Generating random numbers by adapted rejection
- Parameter estimation and random number generation to stable distributions
- An algorithm for the generation of random numbers with density C exp(- \(\lambda\) \(| x| ^{\nu})\)
- A note on transformed density rejection
Cites work
- A fast procedure for generating exponential random variables
- A fast procedure for generating normal random variables
- A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
- A fractional generalization of the Poisson processes
- A Method for Simulating Stable Random Variables
- An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
- Anomalous waiting times in high-frequency financial data
- Computation of the generalized Mittag-Leffler function and its inverse in the complex plane
- Computer simulation of geometric stable distributions
- Continuous-time random walk and parametric subordination in fractional diffusion
- Detection of invisible and crucial events: from seismic fluctuations to the war against terrorism
- Discrete and continuous random walk models for space-time fractional diffusion
- Efficient generation of exponential and normal deviates
- Fox \(H\) functions in fractional diffusion
- Fractional calculus. Models and numerical methods
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- Fractional moment estimation of Linnik and Mittag-Leffler parameters
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 2015690 (Why is no real title available?)
- scientific article; zbMATH DE number 2015776 (Why is no real title available?)
- scientific article; zbMATH DE number 1553355 (Why is no real title available?)
- scientific article; zbMATH DE number 2208480 (Why is no real title available?)
- Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case
- Mittag-Leffler process
- Mixture representation of Linnik distribution revisited
- Mixture representations for symmetric generalized Linnik laws
- Numerical calculation of stable densities and distribution functions
- Power-law distributions in empirical data
- Stochastic solution of space-time fractional diffusion equations
- The fundamental solution of the space-time fractional diffusion equation
- Waiting-times and returns in high-frequency financial data: An empirical study
Cited in
(4)- A new double truncated generalized gamma model with some applications
- A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
- A stochastic method for solving time-fractional differential equations
- On the applicability of Feynman-Kac path integral simulation to space-time fractional Schrödinger equations
This page was built for publication: Random numbers from the tails of probability distributions using the transformation method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2347310)
