On simulation and properties of the stable law |
| |
| Authors: | Luc Devroye Lancelot James |
| |
| Affiliation: | 1. School of Computer Science, McGill University, 3480 University Street, Montreal, H3A 2K6, Canada
2. Department of Information and Systems Management, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong
|
| |
| Abstract: | The stable distribution, in its many parametrizations, is central to many stochastic processes. Many random variables that occur in the study of Lévy processes are related to it. Good progress has been made recently for simulating various quantities related to the stable law. In this note, we survey exact random variate generators for these distributions. Many distributional identities are also reviewed. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
