Weron, Rafal (1996): Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables".
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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.
|Item Type:||MPRA Paper|
|Original Title:||Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"|
|Keywords:||Stable distribution; Simulation; Random variable|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C16 - Specific Distributions
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Rafal Weron|
|Date Deposited:||17. Feb 2010 23:41|
|Last Modified:||18. Feb 2013 23:28|
Chambers, J.M., Mallows, C.L. and Stuck, B.W. (1976), A method for simulating stable random variables, J. Amer. Statist. Assoc. 71, 340–344.
Weron, R.(1996), On the Chambers-Mallows-Stuck method for simulating skewed stable random variables, Statist. Probab. Lett. 28, 165-171