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.File | Dimensione | Formato | |
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