On simulating truncated stable random variables |
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Authors: | Mahdi Teimouri Saralees Nadarajah |
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Institution: | 1. Department of Statistics, Gonbad Kavous University, Gonbad Kavous, Iran 2. School of Mathematics, University of Manchester, Manchester, M13 9PL, UK
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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. |
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