Simulating a generalized Gaussian noise with shape parameter 1/2

MaRDI QIDQ5448400zbMATH OpenFDO

Authors Martina Nardon, P. Pianca

Publication date 20 March 2008

zbMATH Keywords

generalized Gaussian densityheavy tailsLambert \(W\) functionMonte Carlo simulationtransformations of random variables

Mathematics Subject Classification ID

Monte Carlo methods (65C05) General theory of numerical methods in complex analysis (potential theory, etc.) (65E05)

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(4)

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• Simulation of the p-generalized Gaussian distribution
• Efficient procedure to generate generalized Gaussian noise using linear spline tools

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