Random variate generation for exponentially and polynomially tilted stable distributions
Luc Devroye · ACM Transactions on Modeling and Computer Simulation · 2009
We develop exact random variate generators for the polynomially and exponentially tilted unilateral stable distributions. The algorithms, which generalize Kanter's method, are uniformly fast over all choices of the tilting and stable parameters. The key to the solution is a new distribution which we call Zolotarev's distribution. We also present a novel double rejection method that is useful whenever densities have an integral representation involving an auxiliary variable.