Truncated stable random variables characterization and simulation

DOI10.1007/S00180-009-0167-7MaRDI QIDQ626265zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 22 February 2011

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-009-0167-7

zbMATH Keywords

Chambers transformexponential distributionrandom number generationstable distributionstable random variableuniform distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random number generation in numerical analysis (65C10)

Review text

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.

Recommendations

• On simulating truncated stable random variables
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• Parameter estimation and random number generation to stable distributions
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Cites work

• A Method for Simulating Stable Random Variables
• Chance and Stability
• Considerations on modeling some distribution laws
• scientific article; zbMATH DE number 1390897 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Stable densities under change of scale and total variation inequalities

Cited in

(7)

• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• A characterization for truncated Cauchy random variables with nonzero skewness parameter
• On simulating truncated stable random variables
• On simulating truncated skewed Cauchy random variables
• scientific article; zbMATH DE number 1234594 (Why is no real title available?)
• Some analytical results on bivariate stable distributions with an application in operational risk
• On the simulation of truncated stable distributions: a correction to the literature

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