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On the Chambers-Mallows-Stuck method for simulating skewed stable random variables

Rafał Weron ()

Statistics & Probability Letters, 1996, vol. 28, issue 2, 165-171

Abstract: In this note, we give a proof to the equality in law of a skewed stable variable and a nonlinear transformation of two independent uniform and exponential variables. The lack of an explicit proof of this formula has led to some inaccuracies in the literature. The Chambers et al. (1976) method of computer generation of a skewed stable random variable is based on this equality

Keywords: Stable; distribution; Characteristic; function; Random; variable; generation (search for similar items in EconPapers)
Date: 1996
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Handle: RePEc:eee:stapro:v:28:y:1996:i:2:p:165-171