Random variate generation for Laguerre-type exponentially tilted -stable distributions

DOI10.1214/15-EJS1033MaRDI QIDQ491385zbMATH OpenOpenAlexFDO

Authors Stefano Favaro, Yee Whye Teh, Bernardo Nipoti

Publication date 25 August 2015

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1433982944

zbMATH Keywords

rejection samplingLaguerre polynomialexact random variate generationexponentially tilted \(\alpha\)-stable distributiongamma tilted \(\alpha\)-stable distributionnoncentral generalized factorial coefficient

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15)

Recommendations

• Random variate generation for exponentially and polynomially tilted stable distributions
• Numerical generation of symmetric \(\alpha\)-stable random variables
• Sampling exponentially tilted stable distributions
• Beta Variate Generation via Exponential Majorizing Functions
• Generation of random variates using asymptotic expansions
• A convenient way of generating gamma random variables using generalized exponential distribu\-tion
• A fast procedure for generating exponential random variables

Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1995731 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Method for Simulating Stable Random Variables
• A class of polynomials and a generalization of Stirling numbers
• Combinatorial Methods in Discrete Distributions
• Efficiently sampling nested Archimedean copulas
• Introduction to rare event simulation.
• On the differences of the generalized factorials at an arbitrary point and their combinatorial applications
• Operational formulas connected with two generalizations of Hermite polynomials
• Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions
• Random variate generation for exponentially and polynomially tilted stable distributions
• Stable densities under change of scale and total variation inequalities
• Survival models for heterogeneous populations derived from stable distributions

Cited in

(7)

• Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions
• The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula
• Sampling exponentially tilted stable distributions
• Random variate generation for exponentially and polynomially tilted stable distributions
• Random variate generation for exponential and gamma tilted stable distributions
• A Berry-Esseen theorem for Pitman's \(\alpha\)-diversity
• Is infinity that far? A Bayesian nonparametric perspective of finite mixture models

This page was built for publication: Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q491385)