Simulation techniques for generalized Gaussian densities

DOI10.1080/00949650802290912zbMath1178.62010OpenAlexW2020628566MaRDI QIDQ3653252

Martina Nardon, Paolo Pianca

Publication date: 22 December 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://virgo.unive.it/wpideas/storage/2006wp145.pdf

zbMATH Keywords

Monte Carlo simulationheavy tailsLambert \(W\) functiongeneralized Gaussian densitytransformations of random variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Statistical distribution theory (62E99)

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Cites Work

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• On the Lambert \(w\) function
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• Generating Random Variates Using Transformations with Multiple Roots
• Numerical evaluation of the Lambert W function and application to generation of generalized Gaussian noise with exponent 1/2
• Detectors for discrete-time signals in non-Gaussian noise

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