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Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"

By Rafal Weron

Abstract

In the paper Weron (1996, Statist. Probab. Lett. 28, 165-171), I gave a proof to the equality in law of a skewed stable variable and a nonlinear transformation of two independent uniform and exponential variables. The Chambers et al. (1976, J. Amer. Statist. Assoc. 71, 340–344) method of computer generation of a skewed stable random variable is based on this equality. Unfortunately an error crept into my calculations for alpha=1. This note corrects the error.

Topics: C16 - Specific Distributions, C15 - Statistical Simulation Methods: General
Year: 1996
DOI identifier: 10.1016/0167-7152(95)00113-1
OAI identifier: oai:mpra.ub.uni-muenchen.de:20761

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