On simulating truncated stable random variables

被引：0
|
作者：
Mahdi Teimouri
Saralees Nadarajah
机构：
[1] Gonbad Kavous University,Department of Statistics
[2] University of Manchester,School of Mathematics
来源：
Computational Statistics | 2013年 / 28卷
关键词：
Simulation; Stable distribution; Truncation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Soltani and Shirvani (Comput Stat 25:155–161, 2010) proposed a scheme for simulating truncated stable random variables. That involves solving a nonlinear transformation in each realization. Here, we propose alternative schemes to generate truncated stable random variables. Our schemes are more general (for example, incorporates one-sided and two-sided truncations) and are shown to be more efficient.
引用
收藏
页码：2367 / 2377
页数：10
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