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On the Chambers-Mallows-Stuck method for simulating skewed stable random variables

  • Weron, Rafal

In this note, we give a proof to the equality in law of a skewed stable variable and a nonlinear transformation of two independent uniform and exponential variables. The lack of an explicit proof of this formula has led to some inaccuracies in the literature. The Chambers et al. (1976) method of computer generation of a skewed stable random variable is based on this equality

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 28 (1996)
Issue (Month): 2 (June)
Pages: 165-171

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Handle: RePEc:eee:stapro:v:28:y:1996:i:2:p:165-171
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  1. Buckle, D. J., 1994. "The study of a function relating to stable distributions," Statistics & Probability Letters, Elsevier, vol. 20(2), pages 85-90, May.
  2. Devroye, Luc, 1993. "A triptych of discrete distributions related to the stable law," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 349-351, December.
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