Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables"

Rafał Weron

No HSC/96/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In the paper Weron (1996, Statist. Probab. Lett. 28, 165-171), I gave a proof to the equality in law of a skewed stable variable and a nonlinear transformation of two independent uniform and exponential variables. The Chambers et al. (1976, J. Amer. Statist. Assoc. 71, 340–344) method of computer generation of a skewed stable random variable is based on this equality. Unfortunately an error crept into my calculations for alpha=1. This note corrects the error.

Keywords: Stable distribution; Simulation; Random variable (search for similar items in EconPapers)
JEL-codes: C15 C16 (search for similar items in EconPapers)
Pages: 2 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (46)

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_96_01.pdf Final version, 1996 (application/pdf)

Related works:
Working Paper: Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" (2010)
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