Computer simulation of geometric stable distributions

DOI10.1016/S0377-0427(99)00318-0zbMath0952.65007MaRDI QIDQ1567360

Tomasz J. Kozubowski

Publication date: 5 June 2000

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stable distributionLinnik distributionheavy tailed distributiongeometric compound

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory of statistical distributions (62E10) Random number generation in numerical analysis (65C10)

Related Items (6)

Fractional Euler Limits and their Applications ⋮ A stochastic method for solving time-fractional differential equations ⋮ A class of discrete distributions induced by stable laws ⋮ Estimation and Simulation of the Riesz-Bessel Distribution ⋮ A Generalization to Bivariate Mittag–Leffler and Bivariate Discrete Mittag–Leffler Autoregressive Processes ⋮ Random numbers from the tails of probability distributions using the transformation method

Cites Work

• Mixture representations for symmetric generalized Linnik laws
• Mixture representation of Linnik distribution revisited
• Simulation of geometric stable and other limiting multivariate distributions arising in random summation scheme
• On Mittag-Leffler functions and related distributions
• A note on Linnik's distribution
• A multivariate Linnik distribution
• Geometric stable distributions in Banach spaces
• The theory of geometric stable distributions and its use in modeling financial data
• Integral and asymptotic representations of geo-stable densities
• On geometric-stable laws, a related property of stable processes, and stable densities of exponent one
• Exponential mixture representation of geometric stable distributions
• Analytic and asymptotic properties of Linnik's probability densities. I
• A mixture representation of the Linnik distribution
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• Laplace-Weibull Mixtures for Modeling Price Changes
• Modeling asset returns with alternative stable distributions^*
• Linnik distributions and processes
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