Simulation techniques for generalized Gaussian densities

Abstract

This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a parametric family of distributions has been proposed in many applications in science to describe physical phenomena and in engineering, and it seems also useful in modeling economic and financial data. For values of the shape parameter a within a certain range, the distribution presents heavy tails. In particular, the cases a=1/3 and a=1/2 are considered. For such values of the shape parameter, different simulation methods are assessed.Generalized Gaussian density, heavy tails, transformations of rendom variables, Monte Carlo simulation, Lambert W function