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On simulating truncated stable random variables

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  • Mahdi Teimouri
  • Saralees Nadarajah

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. Copyright Springer-Verlag Berlin Heidelberg 2013

Suggested Citation

  • Mahdi Teimouri & Saralees Nadarajah, 2013. "On simulating truncated stable random variables," Computational Statistics, Springer, vol. 28(5), pages 2367-2377, October.
    • Handle: RePEc:spr:compst:v:28:y:2013:i:5:p:2367-2377
    DOI: 10.1007/s00180-013-0397-6
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    References listed on IDEAS

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    1. A. Soltani & A. Shirvani, 2010. "Truncated stable random variables: characterization and simulation," Computational Statistics, Springer, vol. 25(1), pages 155-161, March.
    2. Christian Menn & Svetlozar Rachev, 2009. "Smoothly truncated stable distributions, GARCH-models, and option pricing," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 411-438, July.
    3. Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.
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