Open Access
2015 Random variate generation for Laguerre-type exponentially tilted $\alpha$-stable distributions
Stefano Favaro, Bernardo Nipoti, Yee Whye Teh
Electron. J. Statist. 9(1): 1230-1242 (2015). DOI: 10.1214/15-EJS1033
Abstract

Exact sampling methods have been recently developed for generating random variates for exponentially tilted $\alpha$-stable distributions. In this paper we show how to generate, exactly, random variates for a more general class of tilted $\alpha$-stable distributions, which is referred to as the class of Laguerre-type exponentially tilted $\alpha$-stable distributions. Beside the exponentially tilted $\alpha$-stable distribution, such a class includes also the Erlang tilted $\alpha$-stable distribution. This is a special case of the so-called gamma tilted $\alpha$-stable distribution, for which an efficient exact random variate generator is currently not available in the literature. Our result fills this gap.

Copyright © 2015 The Institute of Mathematical Statistics and the Bernoulli Society
Stefano Favaro, Bernardo Nipoti, and Yee Whye Teh "Random variate generation for Laguerre-type exponentially tilted $\alpha$-stable distributions," Electronic Journal of Statistics 9(1), 1230-1242, (2015). https://doi.org/10.1214/15-EJS1033
Received: 1 June 2014; Published: 2015
Vol.9 • No. 1 • 2015
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