Fast algorithms for simulation of symmetric stable random quantities and processes
DOI:
https://doi.org/10.3103/S0735272704070040Abstract
A limit representation has been obtained for a uniform symmetric stable process with independent increments in the form of a sum of independent Wiener’s and purely jump-like generalized Gaussian processes. Simple and speedy algorithms are developed for simulation of symmetric stable random quantities and processes. The algorithms can be easily implemented in a computer.References
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