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Pseudo random numbers for the Landau and Vavilov distributions

Author

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  • J.-F. Chamayou

    (Université Paul Sabatier)

Abstract

Summary The Chambers, Mallows and Stuck algorithm for stable pseudo random numbers is applied to the generation of Landau variates. The infinitely divisibility property of the Vavilov density is used to generate the variates. Use is made of the convolution between a Vavilov density with velocity β and the density of the sum of an increasing number of products of powers of independent uniform variables to generate Vavilov variates with velocity β′2

Suggested Citation

  • J.-F. Chamayou, 2001. "Pseudo random numbers for the Landau and Vavilov distributions," Computational Statistics, Springer, vol. 16(1), pages 131-152, March.
    • Handle: RePEc:spr:compst:v:16:y:2001:i:1:d:10.1007_s001800100055
    DOI: 10.1007/s001800100055
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    References listed on IDEAS

    as
    1. Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.
    2. Buckle, D. J., 1994. "The study of a function relating to stable distributions," Statistics & Probability Letters, Elsevier, vol. 20(2), pages 85-90, May.
    3. Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June.
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