A Method for Simulating Stable Random Variables

1976/06/01 by J. Chambers, C. L. Mallows, B. W. Stuck · 20 citations
Economics, Econometrics and Finance · Computer Science · #Financial Risk and Volatility Modeling #Neural Networks and Applications #Complex Systems and Time Series Analysis

paper · doi:10.1080/01621459.1976.10480344

openalex publication_date 1976/06/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/02

Abstract

A new algorithm is presented for simulating stable random variables on a digital computer for arbitrary characteristic exponent α(0 < α ≤ 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.

Citations

• The Behavior of Stock-Market Prices

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