Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme

DOI10.1016/S0895-7177(99)00108-9zbMath1006.60013MaRDI QIDQ699431

Tomasz J. Kozubowski, Anna K. Panorska

Publication date: 6 October 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

numerical simulation\(\alpha\)-stable random vectorsrandom summation schemetwo-dimensional geometric stable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items

Modeling chinese stock returns with stable distribution, Lévy process with substable increments via generalized convolution, Kendall random walk, Williamson transform, and the corresponding Wiener-Hopf factorization, Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme, Computer simulation of geometric stable distributions, Multivariate geometric stable distributions in financial applications.

Cites Work

• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• On moments and tail behavior of \(\nu\)-stable random variables
• The theory of geometric stable distributions and its use in modeling financial data
• Multivariate geometric stable distributions in financial applications.
• A method for simulating stable random vectors
• Modeling asset returns with alternative stable distributions^*
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