期刊
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
卷 22, 期 1, 页码 -出版社
ASSOC COMPUTING MACHINERY
DOI: 10.1145/2043635.2043638
关键词
Stable distributions; exponentially tilted stable distributions; Laplace-Stieltjes transforms; sampling algorithms
资金
- Willis Re
Several algorithms for sampling exponentially tilted positive stable distributions have recently been suggested. Three of them are known as exact methods, that is, neither do they rely on approximations nor on numerically critical procedures. One of these algorithms is outperformed by another one uniformly over all parameters. The remaining two algorithms are based on different ideas and both have their advantages. After a brief overview of sampling algorithms for exponentially tilted positive stable distributions, the two algorithms are compared. A rule is derived when to apply which for sampling these distributions.
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