期刊
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
卷 116, 期 2, 页码 221-229出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/S0377-0427(99)00318-0
关键词
geometric compound; heavy tailed distribution; Linnik distribution; Mittag-Leffler distribution; mixture; random summation; random variate generation; stable law
We present a new method for computer simulation of strictly geometric stable random variables. The method is based on their representation as a product of two independent random variables with explicit distribution functions, coupled with the inversion method. We also extend the method to the multivariate case, by deriving new representation and simulation algorithm for multivariate Linnik distribution. (C) 2000 Elsevier Science B.V. All rights reserved.
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