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A method for simulating stable random vectors. (English) Zbl 0944.65004
The article deals with simulating a class of multidimensional \(\alpha\)-stable random vectors with dependent components on a computer. The main results of the article are the following:
1. Any \(\alpha\)-stable random vector with discrete spectral measure has the same distribution as a linear combination of vector multiples of one-dimensional i.i.d. \(S_{\alpha}(1,1,0)\) random variables. 2. There exists a sequence of \(\alpha\)-stable random vectors with discrete spectral measure that converges in distribution to a given \(\alpha\)-stable random vector. A FORTRAN subroutine is given which implements the method.

MSC:
65C10 Random number generation in numerical analysis
65C50 Other computational problems in probability (MSC2010)
60E07 Infinitely divisible distributions; stable distributions
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