Sampling exponentially tilted stable distributions

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Author
Hofert, Marius
Date
2011-12
Type
  • Journal Article
Publication status
published
External links
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Journal / series
ACM transactions on modeling and computer simulation
Volume
22(1)
Pages
3
Publisher
Association for Computing Machinery
Subject
Stable distributions; Exponentially tilted stable distributions; Laplace-Stieltjes transforms; Sampling algorithms
Organisational unit
03288 - Embrechts, Paul
Notes
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