[S] stable random variable generation

andrey@utstat.toronto.edu
Tue, 19 May 98 14:35 EDT


> I need to generate a stable random variable. Unfortunately, S+ requires
> a rather long time. Does anyone know any quicker free package for
> stable random variable generation?
>
> Thank you.
> Arturas Mazeika

generating stable random variables is fairly nontrivial since there are no
`handles' on the actual distributions other than through integral transforms.

the method of chambers, mallows and stuck (based on transforming a pair of
uniforms) in the journal of the american statistical association, 1976,
p340-344, is, to my knowledge, the only practical algorithm and
implementation for generating arbitrary stables that has been carried out
to date. this paper contains a brief appendix with fortran code for that
algorithm. presumably linking this fortran code to s-plus should result
in being able to generate stables about as fast as is possible within s-plus
although i would assume that this in fact is what s-plus has already done
(although i stand to be corrected on this last point).

hope this info helps a little bit; if you should come across any other newer
algorithms for generating stables, please do let me know.

best,
andrey feuerverger ( andrey@utstat.toronto.edu )
university of toronto

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