GRAN3: Gauss procedure to generate stable random numbers

Carlos Urzúa

EGAP Computer Code from Tecnológico de Monterrey, Campus Ciudad de México

Abstract: Generation of standard stable pseudo-random numbers using GAUSS (version 3.6 or later), by means of an algorithm first proposed by Chambers, Mallows and Stuck (1976), and later shown rigurously by Weron (1996).

Language: GAUSS
Keywords: stable distribution; stable random numbers; pseudo-random numbers; stable variates; GAUSS (search for similar items in EconPapers)
JEL-codes: C15 C16 C87 (search for similar items in EconPapers)
Date: 2007-03
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Persistent link: https://EconPapers.repec.org/RePEc:ega:comcod:200704

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