On the Chambers-Mallows-Stuck method for simulating skewed stable random variables

Statistics and Probability Letters

Volumn 28, Issue 2, 1996, Pages 165-171

  Weron, Rafał ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Characteristic function; Random variable generation; Stable distribution

Indexed keywords

EID: 0030585552     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00113-1     Document Type: Article

References (11)

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3. Devroye, L. (1990), A note on Linnik's distributions, Statist. Probab. Lett. 9, 305-306.
4. Devroye, L. (1993), A triptich of discrete distributions related to the stable law, Statist. Probab. Lett. 18, 349-351.
5. Hall, P. (1981), A comedy of errors: the canonical form for a stable characteristic function, Bull. London Math. Soc. 13, 23-27.
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7. Kanter, M. (1975), Stable densities under change of scale and total variation inequalities, Ann. Probab. 3, 697-707.
8. Lévy, P. (1934), Sur les intégrales dont les éléments sont des variables aléatoires indépendantes, Ann. Scuola Norm. Pisa 3, 337-366.
9. Samorodnitsky, G. and M.S. Taqqu (1994), Stable Non-Gaussian Random Processes (Chapman & Hall, New York).
10. Zolotarev, V. (1966), On representation of stable laws by integrals, Selected Translations in Mathematical Statistics and Probability Vol. 6, 84-88, Russian original, 1964.
11. Zolotarev, V. (1986), One-Dimensional Stable Distributions (American Mathematical Society, Providence, RI), Russian original, 1983.