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Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"

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  • Weron, Rafal

Abstract

In the paper Weron (1996, Statist. Probab. Lett. 28, 165-171), I gave a proof to the equality in law of a skewed stable variable and a nonlinear transformation of two independent uniform and exponential variables. The Chambers et al. (1976, J. Amer. Statist. Assoc. 71, 340–344) method of computer generation of a skewed stable random variable is based on this equality. Unfortunately an error crept into my calculations for alpha=1. This note corrects the error.

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File URL: http://mpra.ub.uni-muenchen.de/20761/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 20761.

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Date of creation: 1996
Date of revision: 2010
Handle: RePEc:pra:mprapa:20761

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Keywords: Stable distribution; Simulation; Random variable;

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Cited by:
  1. John C. Frain, 2007. "Small sample power of tests of normality when the alternative is an alpha-stable distribution," Trinity Economics Papers tep0207, Trinity College Dublin, Department of Economics.
  2. Rafal Weron, 2003. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics 0305003, EconWPA.
  3. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
  4. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
  5. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
  6. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
  7. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.

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