On simulating truncated skewed Cauchy random variables

被引：0
|
作者：
Teimouri, Mahdi [1 ]
Nadarajah, Saralees [2 ]
机构：
[1] Gonbad Kavous Univ, Dept Stat, Gonbad Kavous, Iran
[2] Univ Manchester, Sch Math, Manchester, Lancs, England
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2017年 / 46卷 / 02期
关键词：
Cauchy distribution; Simulation; Truncation; STABLE RANDOM-VARIABLES;
D O I：
10.1080/03610918.2014.1002617
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Shirvani and Soltani suggested a method for characterizing and simulating one-sided truncated Cauchy random variables. For simulation, that involves solving a nonlinear transformation in each iteration. Here, we propose an alternative method to generate Cauchy random variables. Our method is more general (e.g., incorporates one-sided and two-sided truncations) and does not involve solving any equation. It can be implemented even using a hand calculator.
引用
收藏
页码：1318 / 1321
页数：4
相关论文
共 50 条
  • [1] On simulating truncated stable random variables
    Mahdi Teimouri
    Saralees Nadarajah
    Computational Statistics, 2013, 28 : 2367 - 2377
  • [2] On simulating truncated stable random variables
    Teimouri, Mahdi
    Nadarajah, Saralees
    COMPUTATIONAL STATISTICS, 2013, 28 (05) : 2367 - 2377
  • [3] A characterization for truncated cauchy random variables with nonzero skewness parameter
    Shirvani, A.
    Soltani, A. R.
    COMPUTATIONAL STATISTICS, 2013, 28 (03) : 1011 - 1016
  • [4] A characterization for truncated cauchy random variables with nonzero skewness parameter
    A. Shirvani
    A. R. Soltani
    Computational Statistics, 2013, 28 : 1011 - 1016
  • [5] A skewed truncated Cauchy distribution with applications in economics
    Nadarajah, Saralees
    Kotz, Samuel
    APPLIED ECONOMICS LETTERS, 2007, 14 (13) : 957 - 961
  • [6] On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    Weron, R.
    Statistics & Probability Letters, 28 (02):
  • [7] On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    Weron, R
    STATISTICS & PROBABILITY LETTERS, 1996, 28 (02) : 165 - 171
  • [8] CAUCHY RANDOM-VARIABLES
    NEUTS, MF
    KOTLARSKI, II
    AHUJA, M
    BISHOP, L
    BRUCKMAN, PS
    CLARKE, LE
    DEUTSCH, E
    HERTZ, E
    HOAGLIN, DC
    JAGERS, AA
    KEMP, LF
    KEMPERMAN, JHB
    KLINGER, K
    LETAC, G
    MARKEL, WD
    MATTICS, LE
    MILLER, RR
    ROGERS, GS
    SHELUPSKY, D
    SKALSKY, M
    SNOW, W
    TAKACS, L
    AMERICAN MATHEMATICAL MONTHLY, 1979, 86 (03): : 229 - 229
  • [9] Method for simulating truncated random processes
    Egorov, SA
    MEASUREMENT TECHNIQUES USSR, 1996, 39 (01): : 1 - 5
  • [10] Simulating Bessel random variables
    Devroye, L
    STATISTICS & PROBABILITY LETTERS, 2002, 57 (03) : 249 - 257
12345