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Random variate generation for Laguerre-type exponentially tilted $lpha$-stable distributions

机译:Laguerre型指数倾斜的$ alpha $稳定分布的随机变量生成

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Exact sampling methods have been recently developed for generating random variates for exponentially tilted $lpha$-stable distributions. In this paper we show how to generate, exactly, random variates for a more general class of tilted $lpha$-stable distributions, which is referred to as the class of Laguerre-type exponentially tilted $lpha$-stable distributions. Beside the exponentially tilted $lpha$-stable distribution, such a class includes also the Erlang tilted $lpha$-stable distribution. This is a special case of the so-called gamma tilted $lpha$-stable distribution, for which an efficient exact random variate generator is currently not available in the literature. Our result fills this gap.
机译:最近已经开发出精确的采样方法,以生成呈指数倾斜的α稳定分布的随机变量。在本文中,我们展示了如何为更常见的倾斜的 alpha $-稳定分布类生成精确的随机变量,该类称为Laguerre型指数倾斜的 alpha $-稳定分布类。除了指数倾斜的α稳定分布之外,此类还包括埃尔朗倾斜的α稳定分布。这是所谓的伽马倾斜的$ alpha $-稳定分布的特例,在文献中目前没有有效的精确随机变量生成器。我们的结果填补了这一空白。

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