Affiliation:
1. McGill University, Montreal, Canada
Abstract
We develop exact random variate generators for the polynomially and exponentially tilted unilateral stable distributions. The algorithms, which generalize Kanter's method, are uniformly fast over all choices of the tilting and stable parameters. The key to the solution is a new distribution which we call Zolotarev's distribution. We also present a novel double rejection method that is useful whenever densities have an integral representation involving an auxiliary variable.
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Association for Computing Machinery (ACM)
Subject
Computer Science Applications,Modelling and Simulation
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