GRAN3: Gauss procedure to generate stable random numbers
AbstractGeneration of standard stable pseudo-random numbers using GAUSS (version 3.6 or later), by means of an algorithm first proposed by Chambers, Mallows and Stuck (1976), and later shown rigurously by Weron (1996).
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Bibliographic InfoSoftware component provided by Tecnológico de Monterrey, Campus Ciudad de México in its series EGAP Computer Code with number 2007-04.
Programming language: GAUSS
Date of creation: Mar 2007
Date of revision:
stable distribution; stable random numbers; pseudo-random numbers; stable variates; GAUSS;
Find related papers by JEL classification:
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