Truncated stable random variables characterization and simulation (Q626265)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Truncated stable random variables characterization and simulation |
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Truncated stable random variables characterization and simulation (English)
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22 February 2011
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The Chambers transform allows to generate a random variable with a stable distribution as a nonlinear transform of two independent random variables, one with exponential distribution and the other one with uniform distribution. The authors investigate some properties of this transform and propose a modification which can be used for the efficient generation of random variables with truncated stable distribution.
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Chambers transform
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random number generation
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stable random variable
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stable distribution
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exponential distribution
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uniform distribution
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