Random variate generation for exponential and gamma tilted stable distributions

DOI10.1145/3449357MaRDI QIDQ6584560zbMATH OpenFDO

Authors Yan Qu, Angelos Dassios, Hongbiao Zhao

Publication date 8 August 2024

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/3449357

zbMATH Keywords

Lévy processMonte Carlo simulationrandom variate generationtempered stable distributiontwo-dimensional single rejection

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• P-min-stable regression models for time series with extreme values of limited range
• On the simulation of truncated stable distributions: a correction to the literature

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