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.
%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
}