A Method for Simulating Stable Random Variables
A Method for Simulating Stable Random Variables
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DOI：
10.1080/01621459.1976.10480344
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发表时间：
1976-06
影响因子：
3.7
通讯作者：
J. Chambers;C. Mallows;B. Stuck
中科院分区：
文献类型：
--
作者：
J. Chambers;C. Mallows;B. Stuck
提出了一种在数字计算机上模拟任意特征指数α(0<；α≤2)和偏度参数β(-1≤β≤1)的平稳随机变量的新算法。该算法涉及两个独立的均匀随机变量到一个稳定随机变量的非线性变换。该稳定的随机变量是每个均匀随机变量的连续函数，并且是α和修正的偏度参数β‘在它们各自的允许范围内的连续函数。
Abstract A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent α(0 < α ≤ 2) and skewness parameter β(-1 ≤ β ≤ 1). The algorithm involves a nonlinear transformation of two independent uniform random variables into one stable random variable. This stable random variable is a continuous function of each of the uniform random variables, and of α and a modified skewness parameter β' throughout their respective permissible ranges.