S. V. Arhipov, I. A. Bagrova, “On modeling of a generator for two-sided stable numbers with characteristic exponent <nobr>$\alpha\in(0,1)$</nobr>”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2012, Issue 1,Pages <nobr>103

Probabilistic Possibilistic Models

On modeling of a generator for two-sided stable numbers with characteristic exponent $\alpha\in(0,1)$

S. V. Arhipov, I. A. Bagrova

Tver State University, Tver

Abstract: In the paper we describe a generator for two-sided stable numbers with characteristic exponent ${\alpha\in(0,1)}$. We use Generalized CLT for simulation and propose formulae for the generator parameters. Appendix contains values of the above parameters for ($A$) parametrization of stable laws.

Keywords: modelling random variable, stable distributions, Pareto distribution.

UDC: 519.2

Received: 10.03.2012
Revised: 15.03.2012