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Computational Statistics

, Volume 16, Issue 1, pp 131–152 | Cite as

Pseudo random numbers for the Landau and Vavilov distributions

  • J.-F. Chamayou
Article
  • 326 Downloads

Summary

The Chambers, Mallows and Stuck algorithm for stable pseudo random numbers is applied to the generation of Landau variates. The infinitely divisibility property of the Vavilov density is used to generate the variates. Use is made of the convolution between a Vavilov density with velocity β and the density of the sum of an increasing number of products of powers of independent uniform variables to generate Vavilov variates with velocity β′2 < β2 in vjew to achieve a quicker generation with the Rotondi-Montagna and Kölbig-Schorr algorithms.

Keywords

Landau — Vavilov — Dickman Distributions Pseudo random numbers Stable characteristic functions Infinitely divisible distributions Rejection method Exponential Integral functions 

Notes

Acknowledgments

I am deeply indebted to Professor G. LETAC for making very helpful comments.

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Copyright information

© Physica-Verlag 2001

Authors and Affiliations

  • J.-F. Chamayou
    • 1
  1. 1.Laboratoire de Statistique et ProbabilitésUniversité Paul SabatierToulouseFrance

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