Electronic Journal of Statistics

Random variate generation for Laguerre-type exponentially tilted $\alpha$-stable distributions

Abstract

Exact sampling methods have been recently developed for generating random variates for exponentially tilted $\alpha$-stable distributions. In this paper we show how to generate, exactly, random variates for a more general class of tilted $\alpha$-stable distributions, which is referred to as the class of Laguerre-type exponentially tilted $\alpha$-stable distributions. Beside the exponentially tilted $\alpha$-stable distribution, such a class includes also the Erlang tilted $\alpha$-stable distribution. This is a special case of the so-called gamma tilted $\alpha$-stable distribution, for which an efficient exact random variate generator is currently not available in the literature. Our result fills this gap.

Article information

Source
Electron. J. Statist., Volume 9, Number 1 (2015), 1230-1242.

Dates
First available in Project Euclid: 11 June 2015

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1433982944

Digital Object Identifier
doi:10.1214/15-EJS1033

Mathematical Reviews number (MathSciNet)
MR3355756

Zentralblatt MATH identifier
1328.62071

Citation

Favaro, Stefano; Nipoti, Bernardo; Teh, Yee Whye. Random variate generation for Laguerre-type exponentially tilted $\alpha$-stable distributions. Electron. J. Statist. 9 (2015), no. 1, 1230--1242. doi:10.1214/15-EJS1033. https://projecteuclid.org/euclid.ejs/1433982944

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