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 "alpha" within a certain range, the distribution presents heavy tails. In particular, the cases "alpha" = 1/3 and "alpha" = 1/2 are considered. For such values of the shape parameter, different simulation methods are assessed
Many earth and environmental (as well as other) variables, Y, and their spatial or temporal incremen...
AbstractGeneralised hyperbolic (GH) processes are a class of stochastic processes that are used to m...
In this paper we present the tools used in the modeling of distributions with fat tails in the theor...
This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a...
This contribution deals with Monte Carlo simulation techniques for generalized Gaussian random varia...
International audienceThe modeling of sample distributions with generalized Gaussian density (GGD) h...
In this paper, the generalized exponential power (GEP) distribution is studied. This family encompas...
We consider the problem of random variate generation from generalized inverse Gaussian (GIG) distrib...
We extend the 2-parameter Weibull to the generalized gamma distribution by adding a new partial para...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
The GUM uncertainty framework, namely the law of propagation of uncertainty and the characterization...
Financial variables, such as asset returns in international stock and bond markets or interest rates...
Many earth and environmental (as well as other) variables, Y, and their spatial or temporal incremen...
AbstractGeneralised hyperbolic (GH) processes are a class of stochastic processes that are used to m...
In this paper we present the tools used in the modeling of distributions with fat tails in the theor...
This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a...
This contribution deals with Monte Carlo simulation techniques for generalized Gaussian random varia...
International audienceThe modeling of sample distributions with generalized Gaussian density (GGD) h...
In this paper, the generalized exponential power (GEP) distribution is studied. This family encompas...
We consider the problem of random variate generation from generalized inverse Gaussian (GIG) distrib...
We extend the 2-parameter Weibull to the generalized gamma distribution by adding a new partial para...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
The GUM uncertainty framework, namely the law of propagation of uncertainty and the characterization...
Financial variables, such as asset returns in international stock and bond markets or interest rates...
Many earth and environmental (as well as other) variables, Y, and their spatial or temporal incremen...
AbstractGeneralised hyperbolic (GH) processes are a class of stochastic processes that are used to m...
In this paper we present the tools used in the modeling of distributions with fat tails in the theor...