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zbMATH Open
Article . 2021
Data sources: zbMATH Open
DBLP
Article . 2021
Data sources: DBLP
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Random Variate Generation for Exponential and Gamma Tilted Stable Distributions

Random variate generation for exponential and gamma tilted stable distributions
Authors: Yan Qu; Angelos Dassios; Hongbiao Zhao;

Random Variate Generation for Exponential and Gamma Tilted Stable Distributions

Abstract

We develop a new efficient simulation scheme for sampling two families of tilted stable distributions: exponential tilted stable (ETS) and gamma tilted stable (GTS) distributions. Our scheme is based on two-dimensional single rejection. For the ETS family, its complexity is uniformly bounded over all ranges of parameters. This new algorithm outperforms all existing schemes. In particular, it is more efficient than the well-known double rejection scheme, which is the only algorithm with uniformly bounded complexity that we can find in the current literature. Beside the ETS family, our scheme is also flexible to be further extended for generating the GTS family, which cannot easily be done by extending the double rejection scheme. Our algorithms are straightforward to implement, and numerical experiments and tests are conducted to demonstrate the accuracy and efficiency.

Keywords

Lévy process, Numerical methods (including Monte Carlo methods), two-dimensional single rejection, random variate generation, Monte Carlo methods, Processes with independent increments; Lévy processes, tempered stable distribution, Monte Carlo simulation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
9
Top 10%
Average
Average
bronze