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GRAN3: Gauss procedure to generate stable random numbers

Author

Listed:
  • Urzúa, Carlos M.

    (Tecnológico de Monterrey, Campus Ciudad de México)

Programming Language

GAUSS

Abstract

Generation of standard stable pseudo-random numbers using GAUSS (version 3.6 or later), by means of an algorithm first proposed by Chambers, Mallows and Stuck (1976), and later shown rigurously by Weron (1996).

Suggested Citation

  • Urzúa, Carlos M., 2007. "GRAN3: Gauss procedure to generate stable random numbers," EGAP Computer Code 2007-04, Tecnológico de Monterrey, Campus Ciudad de México.
    • Handle: RePEc:ega:comcod:200704
    as

    Download full text from publisher

    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/CC-2007-04.txt
    Download Restriction: no
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    More about this item

    Keywords

    stable distribution; stable random numbers; pseudo-random numbers; stable variates; GAUSS; GAUSS;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    Statistics

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