Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme

Mathematical and Computer Modelling

Volumn 29, Issue 10-12, 1999, Pages 255-262

  Kozubowski, T J ^a   Panorska, A K ^a  

^a UNIVERSITY OF TENNESSEE AT CHATTANOOGA   (United States)

Author keywords

Financial modeling; Heavy tail modeling; Monte Carlo estimation; Random sum; Stable law; Statistical computing

Indexed keywords

EID: 0033133722     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00108-9     Document Type: Article

References (14)

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