期刊
ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION
卷 19, 期 4, 页码 -出版社
ASSOC COMPUTING MACHINERY
DOI: 10.1145/1596519.1596523
关键词
Random variate generation; stable distribution; tempered distributions; rejection method; importance sampling; simulation; Monte Carlo method; expected time analysis; probability inequalities
资金
- NSERC [A3456]
We develop exact random variate generators for the polynomially and exponentially tilted unilateral stable distributions. The algorithms, which generalize Kanter's method, are uniformly fast over all choices of the tilting and stable parameters. The key to the solution is a new distribution which we call Zolotarev's distribution. We also present a novel double rejection method that is useful whenever densities have an integral representation involving an auxiliary variable.
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