%0 Journal Article %1 chambers1976method %A Chambers, J. M. %A Mallows, C. L. %A Stuck, B. W. %D 1976 %I American Statistical Association %J Journal of the American Statistical Association %K simulation stable_distributions %N 354 %P 340--344 %T A Method for Simulating Stable Random Variables %U http://www.jstor.org/stable/2285309 %V 71 %X A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent $\alpha(0 < 2)$ and skewness parameter β(-1 ≤ β ≤ 1). The algorithm involves a nonlinear transformation of two independent uniform random variables into one stable random variable. This stable random variable is a continuous function of each of the uniform random variables, and of α and a modified skewness parameter β' throughout their respective permissible ranges.

@article{chambers1976method, abstract = {A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent $\alpha(0 < \alpha \leq 2)$ and skewness parameter β(-1 ≤ β ≤ 1). The algorithm involves a nonlinear transformation of two independent uniform random variables into one stable random variable. This stable random variable is a continuous function of each of the uniform random variables, and of α and a modified skewness parameter β' throughout their respective permissible ranges.}, added-at = {2023-07-05T18:33:41.000+0200}, author = {Chambers, J. M. and Mallows, C. L. and Stuck, B. W.}, biburl = {https://www.bibsonomy.org/bibtex/211e7316287f1fac5f8de14ee565b7fe1/peter.ralph}, interhash = {154cd0d42e095bd4b5dbea12d8d3d0d3}, intrahash = {11e7316287f1fac5f8de14ee565b7fe1}, issn = {01621459}, journal = {Journal of the American Statistical Association}, keywords = {simulation stable_distributions}, number = 354, pages = {340--344}, publisher = {American Statistical Association}, timestamp = {2023-07-05T18:33:41.000+0200}, title = {A Method for Simulating Stable Random Variables}, url = {http://www.jstor.org/stable/2285309}, urldate = {2023-07-05}, volume = 71, year = 1976 }