Exact sampling methods have been recently developed for generating random variates for exponentially tilted α-stable distributions. In this paper we show how to generate, exactly, random variates for a more general class of tilted α-stable distributions, which is referred to as the class of Laguerre-type exponentially tilted α-stable distributions. Beside the exponentially tilted α-stable distribution, such a class includes also the Erlang tilted α-stable distribution. This is a special case of the so-called gamma tilted α-stable distribution, for which an efficient exact random variate generator is currently not available in the literature. Our result fills this gap.

Favaro, S., Nipoti, B., Teh, Y. (2015). Random variate generation for Laguerre-type exponentially tilted α-stable distributions. ELECTRONIC JOURNAL OF STATISTICS, 9(1), 1230-1242 [10.1214/15-EJS1033].

Random variate generation for Laguerre-type exponentially tilted α-stable distributions

Nipoti B.;
2015

Abstract

Exact sampling methods have been recently developed for generating random variates for exponentially tilted α-stable distributions. In this paper we show how to generate, exactly, random variates for a more general class of tilted α-stable distributions, which is referred to as the class of Laguerre-type exponentially tilted α-stable distributions. Beside the exponentially tilted α-stable distribution, such a class includes also the Erlang tilted α-stable distribution. This is a special case of the so-called gamma tilted α-stable distribution, for which an efficient exact random variate generator is currently not available in the literature. Our result fills this gap.
Articolo in rivista - Articolo scientifico
Exact random variate generation; Exponentially tilted α-stable distribution; Gamma tilted α-stable distribution; Laguerre polynomial; Noncentral generalized factorial coefficient; Rejection sampling;
English
2015
9
1
1230
1242
reserved
Favaro, S., Nipoti, B., Teh, Y. (2015). Random variate generation for Laguerre-type exponentially tilted α-stable distributions. ELECTRONIC JOURNAL OF STATISTICS, 9(1), 1230-1242 [10.1214/15-EJS1033].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/250021
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