Simulation techniques for generalized Gaussian densities
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Publication:3653252
DOI10.1080/00949650802290912zbMath1178.62010OpenAlexW2020628566MaRDI QIDQ3653252
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
Monte Carlo simulationheavy tailsLambert \(W\) functiongeneralized Gaussian densitytransformations of random variables
Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Statistical distribution theory (62E99)
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- Numerical evaluation of the Lambert W function and application to generation of generalized Gaussian noise with exponent 1/2
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