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.
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I am deeply indebted to Professor G. LETAC for making very helpful comments.
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Chamayou, JF. Pseudo random numbers for the Landau and Vavilov distributions. Computational Statistics 16, 131–152 (2001). https://doi.org/10.1007/s001800100055
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DOI: https://doi.org/10.1007/s001800100055