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

Author

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  • Rafal Weron

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.

Suggested Citation

  • Rafal Weron, 1996. "Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables"," HSC Research Reports HSC/96/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc9601
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_96_01.pdf
    File Function: Final version, 1996
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    Keywords

    Stable distribution; Simulation; Random variable;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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