A Method for Simulating Stable Random Variables
作者:
J.M. Chambers,
C.L. Mallows,
B.W. Stuck,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1976)
卷期:
Volume 71,
issue 354
页码: 340-344
ISSN:0162-1459
年代: 1976
DOI:10.1080/01621459.1976.10480344
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent α(0 < α ≤ 2) and skewness parameter β(-1 ≤ β ≤ 1). The algorithm involves a nonlinear transformation of two independent uniform random variables into one stable random variable. This stable random variable is a continuous function of each of the uniform random variables, and of α and a modified skewness parameter β' throughout their respective permissible ranges.
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