On simulating truncated stable random variables

Authors:
Mahdi Teimouri;Saralees Nadarajah
Affiliations:
Department of Statistics, Gonbad Kavous University, Gonbad Kavous, Iran;School of Mathematics, University of Manchester, Manchester, UK M13 9PL
Venue:
Computational Statistics
Year:
2013

Citing 2
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Signal processing with alpha-stable distributions and applications

Signal processing with alpha-stable distributions and applications
Truncated stable random variables: characterization and simulation

Computational Statistics

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Abstract

Soltani and Shirvani (Comput Stat 25:155---161, 2010) proposed a scheme for simulating truncated stable random variables. That involves solving a nonlinear transformation in each realization. Here, we propose alternative schemes to generate truncated stable random variables. Our schemes are more general (for example, incorporates one-sided and two-sided truncations) and are shown to be more efficient.