Large deviations theory techniques in Monte Carlo simulation
WSC '89 Proceedings of the 21st conference on Winter simulation
ACM Transactions on Mathematical Software (TOMS)
The Monty Python method for generating random variables
ACM Transactions on Mathematical Software (TOMS)
A note on transformed density rejection
Computing
Generating gamma variates by a modified rejection technique
Communications of the ACM
A simple universal generator for continuous and discrete univariate T-concave distributions
ACM Transactions on Mathematical Software (TOMS)
Introduction to Rare Event Simulation
Introduction to Rare Event Simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
On simulation of tempered stable random variates
Journal of Computational and Applied Mathematics
Sampling Exponentially Tilted Stable Distributions
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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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.