Polar Generation of Random Variates with the t-Distribution

DOI10.2307/2153537zbMath0805.65005OpenAlexW2060622903WikidataQ56115587 ScholiaQ56115587MaRDI QIDQ4292063

Ralph W. Bailey

Publication date: 2 February 1995

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2153537

zbMATH Keywords

Student's \(t\)-distribution``polar method``polar normal generatorpolar generation of random variates

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Random number generation in numerical analysis (65C10)

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\(t\)-Copula generation for control variates ⋮ Empirical scaling of the length of the longest increasing subsequences of random walks ⋮ Complexity Questions in Non-Uniform Random Variate Generation ⋮ Multivariate distributions defined in terms of contours ⋮ A simple generator for the \(t\) distribution ⋮ Skew \(t\) distributions via the sinh-arcsinh transformation ⋮ THE WRAPPED t FAMILY OF CIRCULAR DISTRIBUTIONS ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ Estimation of stochastic volatility models via Monte Carlo maximum likelihood ⋮ On simulation and properties of the stable law

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