You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
A Method for Simulating Stable Random Variables
J. M. Chambers, C. L. Mallows and B. W. Stuck
Journal of the American Statistical Association
Vol. 71, No. 354 (Jun., 1976), pp. 340-344
Stable URL: http://www.jstor.org/stable/2285309
Page Count: 5
Preview not available
A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent
$\alpha(0 < \alpha \leq 2)$ and skewness parameter β(-1 ≤ β ≤ 1). The algorithm involves a nonlinear transformation of two independent uniform random variables into one stable random variable. This stable random variable is a continuous function of each of the uniform random variables, and of α and a modified skewness parameter β' throughout their respective permissible ranges.
Journal of the American Statistical Association © 1976 American Statistical Association