Simulation techniques for generalized Gaussian densities

Martina Nardon () and Paolo Pianca

No 145, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a parametric family of distributions has been proposed in many applications in science to describe physical phenomena and in engineering, and it seems also useful in modeling economic and financial data. For values of the shape parameter a within a certain range, the distribution presents heavy tails. In particular, the cases a=1/3 and a=1/2 are considered. For such values of the shape parameter, different simulation methods are assessed.

Keywords: Generalized Gaussian density; heavy tails; transformations of rendom variables; Monte Carlo simulation; Lambert W function (search for similar items in EconPapers)
JEL-codes: C15 C16 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2006-11
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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