Random Variate Generation for Exponentially and Polynomially Tilted Stable Distributions

摘要

We develop exact random variate generators for the polynomially and exponentially tilted unilateral stable distributions. The algorithms, which generalize Ranter'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.