Pseudo random numbers for the Landau and Vavilov distributions

J.-F. Chamayou
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J.-F. Chamayou: Université Paul Sabatier

Computational Statistics, 2001, vol. 16, issue 1, No 7, 152 pages

Abstract: Summary The Chambers, Mallows and Stuck algorithm for stable pseudo random numbers is applied to the generation of Landau variates. The infinitely divisibility property of the Vavilov density is used to generate the variates. Use is made of the convolution between a Vavilov density with velocity β and the density of the sum of an increasing number of products of powers of independent uniform variables to generate Vavilov variates with velocity β′2

Keywords: Landau — Vavilov — Dickman Distributions; Pseudo random numbers; Stable characteristic functions; Infinitely divisible distributions; Rejection method; Exponential Integral functions (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/s001800100055

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