Simulating a Generalized Gaussian Noise with Shape Parameter 1/2

Martina Nardon () and Paolo Pianca ()
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Paolo Pianca: University of Venice

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 173-180 from Springer

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

Keywords: Generalized Gaussian density; Heavy tails; Transformations of random variables; Monte Carlo simulation; Lambert W function; C15; C16; MathSci Classification Numbers; 33B99; 65C05; 65C10 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_22

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DOI: 10.1007/978-88-470-0704-8_22

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