On simulation and properties of the stable law

DOI10.1007/s10260-014-0260-0zbMath1332.65009OpenAlexW2010980257MaRDI QIDQ257653

Luc P. Devroye, Lancelot F. James

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-014-0260-0

zbMATH Keywords

Monte Carlo methodsexpected time analysisexact simulationLamperti's distributionoccupation timesprobability inequalitiesrandom variate generationrejection methodstable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05) Random number generation in numerical analysis (65C10)

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Uses Software

• STABLE

Cites Work

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