On simulating truncated stable random variables

Mahdi Teimouri and Saralees Nadarajah ()

Computational Statistics, 2013, vol. 28, issue 5, 2367-2377

Abstract: Soltani and Shirvani (Comput Stat 25:155–161, 2010 ) proposed a scheme for simulating truncated stable random variables. That involves solving a nonlinear transformation in each realization. Here, we propose alternative schemes to generate truncated stable random variables. Our schemes are more general (for example, incorporates one-sided and two-sided truncations) and are shown to be more efficient. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Simulation; Stable distribution; Truncation (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00180-013-0397-6

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