Weron, Rafal (1996): Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables".
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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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" |
| Language: | English |
| Keywords: | Stable distribution; Simulation; Random variable |
| Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General |
| Item ID: | 20761 |
| Depositing User: | Rafal Weron |
| Date Deposited: | 17 Feb 2010 23:41 |
| Last Modified: | 28 Sep 2019 04:39 |
| References: | 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 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/20761 |
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