A Method for Simulating Stable Random Variables

Author(s): J. M. Chambers, C. L. Mallows and B. W. Stuck

Source: Journal of the American Statistical Association, Vol. 71, No. 354 (Jun., 1976), pp. 340344
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A MethodforSimulating
Stable
RandomVariables
and B. W. STUCK*
C. L. MALLOWS
J. M. CHAMBERS,

function.However,this step is expensive,and any inwillbe transmitted

to the Monte
accuraciesintroduced
Carlo results.For problemsof small or moderatesize,
especiallywhenmanydifferent
(a, 1) parametervalues
thealgorithm
areofinterest,
developedherewillbe more
and convenient.
efficient
In severalcases,specialmethodscan be used. Three
of theseare the Gaussian,S(2, 0), the Cauchy,S(1, 0)
1. INTRODUCTION
and thePearsonV, S(2, 1). Ourmethodreducesto wellinterest
in the knownformulas
In recentyearstherehas beengrowing
in thesecases.A procedure
fora set of
whichare special cases is givenby Brownand Tukey [3]: they
propertiesand uses of stable distributions,
thatariseas limitsofsuitablyscaled take m iid Gaussian random variables (X1, ..., X.),
thosedistributions
sumsofiidrandomvariables.An excellent withzeromean and unitvariance,and formS(2-m, 1)
and translated
reference
forthis theoryis Feller [9, e.g., pp. 165-73; from
m
a newsolutionto theproblem
540-9]. Thisnotepresents
S(2-m, 1) = I (Xi)-2'i
of howto simulatestablerandomvariableson a digital
j=l
computer.
function Furthercases can be generatedfromthe precedingby
To fixnotation,we take the characteristic
of zeroand a scale using the followingrelationships,
f(t; a, ,) (witha locationparameter
all of whichfollow
ofunity)to be
or dispersion
parameter
immediately
fromthemanipulation
ofthecharacteristic
function
f(t;
Fouriertransform
a,
A)
plus
elementary
f(t;a, s) =exp [-0 tja exp(-iiriftk(a)sign(t))]
properties(we use the notation "-" to mean "has the
0< a<2
a$1 , samedistribution
as"):

A new algorithmis presented forsimulatingstable random variables

on a digitalcomputerforarbitrarycharacteristicexponenta(O < a < 2)
and skewness parameter j3(-1 <,B < 1). The algorithm involves a
nonlinear transformationof two independent uniformrandom variables into one stable random variable. This stable random variable
is a continuousfunctionofeach ofthe uniformrandom variables, and
of a and a modifiedskewness parameter#' throughouttheir respective permissible ranges.

=exp [-

t| (1 + -iXln |t| sign(t)

i.

S (a#

ii. S(a, 13)

=

~-

S(a,

pS,

qS2

whereSi, S2 are iid,SI - S2 - S(a, 1), and

where -1 <, < 1, k(a) = 1 - 11 - al. For a 1l
pa = sin (7rk(a)(1 + 1))/sin(7rk(a))
thisis a slightmodification
of[9, p. 548,Eqs. (6.1) and
qa = sin (- rk(a)(1 - 1))/sin (7rk(a))
(6.2)]. Feller[9, p. 542,Eq. (4.10)] incorrectly
omitsthe
factor(2/ir)fora = 1. (The readershouldalso consult iii. S(a", 13')
S(a, 1)S(all, 1)Ia , af $ 1, a' < 1
Zolotarev[19].)
Previously,
stablerandomvariableshave been simu- where a" - aa', 13,1k(a)a'/k(aa').
(See also [9,
latedby generating
independent
pseudorandom
numbers p. 336].)
distributed
on theinterval(0, 1) and calcu- The methodpresentedhere is an extensionof an
uniformly
latingthe (approximate)
inversedistribution
function
at observationof Kanter [13, 14]. The manuscript[13]
each value, the resultbeing a sequenceof iid stable containsa recipeforsimulating
positive(3 = 1) stable
pseudorandom
variables (see [5, 8, 15]). DuMouchel randomvariables(0 < a < 1); it appearsat (2.2). This
[6, pp. 121-4] has considered
a numberofvariationson was foundby interpreting
an integralrepresentation
this method.Such methodsare reasonablewhen the given (slightlyincorrectly)
by Ibragimovand Chernin
numberofsimulations
neededis large,fora single(a, ,B) [12] fora positivestableprobability
densityfunction.
A
pair,sinceit is thenpracticableto put mucheffort
into singlestable randomvariable can then be generated
the preliminary
calculationof the inversedistributionwitha predetermined
skewnessvia (ii) in the preceding.
-

* J.M. Chambers,C.L. Mallows and B.W. Stuck are membersof technicalstaff,

and C.L. Mallows is departmenthead, all at Bell Laboratories,MurrayHill, NJ
07974.

Journalof the AmericanStatistical Association

June 1976,Volume 71, Number354
Theoryand Methods Section

340
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341

Stable RandomVariables
Simulating

Here we give similarrecipesfor all stable random where

indexa(0 < a < 2) and skewness
variablesof arbitrary
sin ((1 - a) 0) (sin a@)'a1(1-a)
a(0) = parameter 3(-1 <? < 1), (2.3) and (2.4). These re(sin 0)1/(1-a)
fromrepresentations
sultsfollowimmediately
givenby
of
Zolotarev[19] forthe probability
densityfunctions
variableW
Noticingthat fora standardexponential
restriction
of we have P{W 2 w} = e-w(w > 0), Kanter [13] deduced
the generalstablelaws. The unnecessary
a singlestablerandomvariablefroma linear from(2.1) therepresentation
generating
combinationof two maximallyskew (3 = 1) stable
(2.2)
S(a, 1) = (a(E))/W)(1-a)/a,
randomvariablesis dropped;thissuggestsouralgorithm
moreefficient
may be computationally
(see Section5). whereE8is uniformon (0, 7r) and W is -standardexin (2.3) and (2.4) is thatS(a, ,B)is not a ponential,
A difficulty
and 0 and W are mutuallyindependent.
of a = 1.
function
of a in the neighborhood
continuous
similarto (2.1) in
Zolotarev[19] gave expressions
We discussthis issue in Section3, and reparameterizethegeneralcase; hence,wecandeducetherepresentations
S(a, ,B) to overcomethis problem.In Section4 the
sin a(4) - 4)o)
of our algorithm
is discussed, S(afi)
numericalimplementation
(co 4)
...
withcaretakento insurehighrelativeaccuracy.Section
(Cosb) 1/la
5 touchesbrieflyon the issuesof accuracy,speed and
1
(cos (4)

convenience.

a(4i

(O)))a)a

1 (2.3)

*t
"^^)
2 ~~a
5? X
This workmayfindapplicationin gaininginsightvia
associatedwithsuch
MonteCarlomethodsintoproblems
2/
diverseareas as communications
seemingly
engineeringS(1, ,0)= (y('ir + 13b)tan (4b)
and finance.
Wcos 4)),
(2.4)
2Recentwork[18] has indicatedthat noise on some
telephonelinesmay be adequatelymodeledas the sum
on (- lir, 7r);also
of a deterministic
process(e.g., sinusoids)and a non- whereW is as beforeand 4)is umnform
Gaussianstablerandomprocess.Eventuallythismodel Do= - 1rf(k(a)/a). Notice that (2.3) reduces to (2.2)
maybe used to designequipmentfordetecting,
and esti- when 8 1(4o- -7r), a < 1 (E = 2 + 4P).
matingsignalscorrupted
by thisnoise.Someindication Certainspecialcasesof (2.3) and (2.4) are interesting.
oftheperformance
ofthisequipment
can be obtainedby With a = 2, A3= 0, we have
computersimulation,
usingthe methodpresentedhere
S(2, 0) = Wi sin24/cos4) = 2Wisin4)
stablevariates.
forgenerating
of a Normal
Over the past decade, a growingbody of evidence whichis the Box-Mullerrepresentation
=
1, j-0,
we find for
[4, 7, 17] has accumulated
indicating
stockpricescan be random variable [2]. With a
adequatelymodeledas the sum (or product)of inde- theCauchycase,
pendentidenticallydistributed(iid) randomvariables,
S(1,0) = tan4
withthe randomvariables(or theirlogarithms,
respectively)drawnfroma non-Gaussian
stable distribution.Withca
=1((o =-), we have
It would be desirableto use this model to formulate
S(, 1) = (4Wsin2 (1( - j7r))) -1- (4WcOS2 i)-l
intelligent
investment
strategies.
Again,someindication
oftheperformance
ofa particular
the well-known
factthat S (Q, 1) is
strategy
can be gained This demonstrates
throughcomputersimulationusing the methodpre- distributedlike 1/82(2, 0).
sentedhere.
3. TRANSITIONAL
BEHAVIOR
IN THE
In Monte Carlo studiesof variouslocationand scale
OF v= I
NEIGHBORHOOD
parameter
estimates[1, 10,16] theuse ofrepresentations
oftheformS = NV whereN is Normal,independent
of
In thissectionwe studythe behaviorof (2.3) as a -+ 1.
V, have led to substantialincreasesin efficiency.
Such In relatedwork,DuMouchel[6, pp. 13-14] has studied
studiescan now easilyencompassthe symmetric
stable this problemfor a Cartesianparameterization
of the
family,
usingthealgorithm
presented
here.
stable characteristic
functionratherthan the polar
we have adopted.
parameterization
2. THE NEW FORMULAS
With# fixedand positive,if we let a -- 1 in (2.3),
Forthecase0 < a < 1, /-1, Ibragimovand Chernin thenwe obtain
[12] deriveda formnula
forthe densityof S(a, 1); this
sin (4) - 4)o)
can be integrated
to yield,forx > 0,
lim S(a, 0) = nCOspotan4)- sini'o
_

P{S(a,

aV_1

1)?<x}

= -jfexp {-x*/(Fc)a(O)JdO

0<acz<

1,

COs

(4)

whichis simplya linlearfunction

of a Cauchy (a = 1,
=
random
variable.
we
let A -* 1,Ithislimit
If
now
0)
(2.1)
becomesdegenerate
(at + 1). To obtain(2.4) as a limit,

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342

Journal
of the American
StatisticalAssociation,
June1976

we claim that w-emust translateand rescale S (a, 13),and

must also let 13--- 1 and a --+1.
To see this,it is convenientto define

reduce the trigonometriccomputationsto the tangent

functionof half angles. To retain accuracy throughout
the range, the algorithmuses two auxiliary functions,

S'(a, 1) = tan alIo + (cos ato)-lIctS(a, /3), a $ 1, (3.1)

{-ItI

it(1

tan

ItIa-)

(exp (x)

1)/.x

and

whichhas characteristicfunctionf' given by

f'(t; a, ,3) = exp

D2(x)

(4.2)
tan2 (x) = tan (x)/x

(aio)}

Although these are nonstandardfunctions,approximaWe defineS'(1, 13)= S(1, 13),S'(2, 0) = S(2, 0). The
tions to them may be developed fromexistingapproxilimitingbehavior of S'(a, 13)as a -- 1 can be deduced
mations to D (x) = exp (x) - 1 and tan (x). The latter
fromits characteristicfunction.To obtain the standard
functions
are often computed by functionsof the form
form (2.4) at a = 1, 13must depend on a as follows.
xR (x), whereR (x) is a rational functionof special form;
Theorem:Let e = 1 - a,
- 1,)X > Obe given.Take
thus, we can use R (x) to approximatethe functionsin
B o( - XIel'). Then
(4.2). (Note, however, that standard range reduction
not carryover.) In the appendix,FORTRAN approximay
i. as E40, S'(a, 13) S'(1, ,B*) with a3* - o(1 + X)
mations to D2(x) and tan2 (x) are given, based on
ii. as 4-0, S'(a, A)
S'(1, A*) with 3* = -/(1 + X)
approximations1801 and 4283, respectively,of [11].
These are adequate forprecisionofabout 27 bits. Readers
The proofis elementaryand is omitted.
may adapt more or less precise routinesfromthe same
This discontinuityin limitingbehavior is awkward source fortheirown needs. In our algorithm,the quanin applicationsthat extend over an intervalof values of titiesshownin the table are explicitlyevaluated.
a in the neighborhoodof a = 1. For such purposes,and
to retain computational accuracy, it is convenient to
ExpressionsforComputation
reparameterizethe familyof stable distributions,replacing 13by p3',where
Symbol
Computation
Equivalent
3'(a,13) --tan

a)) tan (abo),

(27r(1 -

a=1.

13'(1,1A)=,

(Recall (D was definedafter (2.4)). In this notation,the

characteristicfunctionof S'(a, ,B')is f'(t; a, 3'),
f'(t;a,1')

= exp -I tI a-it(1

f'(t; 1,13)

l fr'e(1 - f) tan2 (Ifr( -

-fE tanot(D

f < -.99

ifDtan2(j4)

tan(j4)

tan2 (0in4)

tan (ec)I(f))

ie(B

tan (JfEn)

(1 + a2)(1 - b2 + TB)
W(j

(3.3)

cos e4

- a2)(1 + b2)

Iog(z) D2(e logz/1

a = 1

f(t;1,,1

f))

,a

I tI -')1' tan (1a)}

a

fE> -.99

'/(ilr tan2 (iXf)

Ir

tanaX, sinEfD

W cos 4
V10-0

))

1 -f

Both f'(t; a, 1') and S'(a, 13)are continuousfunctions

of a in the neighborhoodof a = 1. Thus, this new
An accurately computable rearrangementof (4.1) is
parameterizationof the familyof stable distributionsis
/sin a4
/cos ab
\
continuousin both a and 1', as claimed.
- tan aIo
S'1 jj
(l-)
Cos4(DCos4
II
_

4. COMPUTATION

+ tan ca4o(l -ze/(1-0)

The computationofS (a, 13)from(2.3), (2.4) is straight- which,in

termsofthe symbolsin the table,is evaluated as
forward,except in the limitingcase as a -> 1 and in the
2(a - b)(1 + ab) - rB(b(1- a2) -2a)
degenerate case ajO. In this section, we discuss one
approach for computing S'(a, 1') -using the revised
K
~~((1 -a2) (1 + b2))
parameterization(a, 13') of (3.2). Again, we emphasize
.(1 + ed) +rd
that thispermitsaccuraterepresentation
near a = 1, and
that S' is a continuous functionof all its arguments. The FORTRAN functionRSTAB in theAppendiximplements
We begin by noting that S'(a, ,B') can be writtenas this calculation.
5'

tan aI?

where e-1

sin a45

tan a4bocos a4
cos 4

-ZE/(1f)

(4.1)

5. COMPARISONS:ACCURACY,SPEED
AND CONVENIENCE

-a,

The algorithmdescribed here provides a very convenient general method of simulatingrandom variables
z-=[(co5sF
e-tanaFzo
sindi+)/(WcGOS')]1
fromany stable distribution,and for most purposes is
Because db -O and tan acI0-Xo as e -0, it is necessary believed to be equal or superiorto all known existing
to rearrangethe calculations.At the same time,one can proceduresin accuracyand speed. For manyapplications,
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343

Stable RandomVariables
Simulating
the generalityand ease of use may well be the most

For each of e(e = 1 - a), ,B',u and u'(w =-ln u'),

- 2-2, 1 - 2-3) and
computed S' and SD'. The relative differenceswere
typicallyofthe orderof 10-8; all calculationswerecarried
out on a Honeywell6070, with a singleprecisionrelative
accuracy of 2 X 10-9. A few of the 625 values were
significantly
larger, with the four largest between 10-6
and 5 X 10-6 (the large values occurredforlarge e} i.e.,
small a); these resultsare available on request.
Some simple timingtests were performedon the same
computer.The average executiontimefora call to RSTAB
was about one millisecond(less forspecial cases, such as
# = 0). This can be compared to the typical floatingpoint operation times on this machine of two to eight
microseconds,and also with the typical execution time
of about 23 and 73 microsecondsfor the uniformand
exponentialgeneratorsused here.
Finally, a word on the monetary cost. To generate
1,000 stable pseudorandomvariables on this machine at
standard (presently available) commercial rates costs
about 35 cents.

important
criteria.
The FORTRAN function
RSTAB maybe we chose five values (2-3, 2-2, 2-1, 1

used with any high-qualitygeneratorsof uniformand

exponential pseudorandom numbers. (If a special exponentialgeneratoris not available, an exponentialrandom variable may be generated as minus the natural
logarithmof a second uniform.)
Two alternative methods are the special case (2.2)
of a most asymmetricstable distribution,and the use of
numericalinversionof the characteristicfunctionas in
the work of DuMouchel [6, pp. 35-42]. As noted in
Section 1, the formerapplies only for a < 1. For this
range,an arbitraryS(a, 3) can be computedby a suitable
linear combinationof two S(a, 1) values. However, the
implementationof (2.2) appears to require nearly as
muchcomputationas themoregeneralcase; in particular,
an accurately computable form of (2.2)-, obtained by
specializingthe formulaforS' in Section 4, still requires
all the special functionscalls (three to "tan2" two to
"log", and one to "D2"). Thus, the directevaluation of
the general case should be nearlytwice as fast. In addition,the linearcombinationrequiredmay be numerically
inaccuratefora skewnessparameterclose to zero.
Direct evaluation of the stable distributionby inversion of the characteristicfunction is a complicated
procedure, requiring a Fast Fourier transformplus a
method for summingthe asymptoticexpansion. Therefore,very considerablesetup calculations are involved,
whichwould have to be repeatedforeverychangein the
parameters.It is possiblethat this effortmightbe repaid
in an extremelylarge Monte Carlo sample with fixed
parameters,but formost applicationsit is feltthe present
methodof nonlinearlytransforming
two uniformrandom
variables will be cheaper as well as much simpler to
implement.
Paulson et al. [15], reportsuccess with approximating
the inversedistributionusing Zolotarev's integralrepresentationsforthe distribution[19]. Again,in our opinion
the present approach will be cheaper as well as much
simplerto implement.
An empirical estimate of accuracy was obtained by
coding the algorithma second time, using double precision arithmetic and routines with double precision
accuracyforthe trigonometric
and exponentialfunctions.
Suppose S' (a, ,B',u, w) denotesthe standardfunction,as
computed in the FORTRAN functionRSTAB; let SD and
ST be the correspondingdouble precisionand true (i.e.,
exact) values of the function.If

then

|SD - STI << IS'

STI

6. CLOSINGREMARK
It is temptingto conjecturethat the representations
(2.3) and (2.4) must have simple directinterpretations,
so that (when properlyviewed) the stable characterof
the variables they definewould be immediatelyevident.
However,aftersome effort,
we have been unable to make
any such directinterpretation
of the representation,
even
in the Cauchy case.

APPENDIX:FORTRANPROGRAMS'
CRSTAB
RANDOMSTABLE STANDARDIZED FORM
FUNCTION RSTAB(ALPHA,BPRIME, U,W)
C ARGUMENTS
C
ALPHA CHARACTERISTIC EXPONENT
C
BPRIME = SKEWNESS IN REVISED PARAMETERIZATION
C
U - UNIFORMVARIATE ON (0. 1. ), FOR EXAMPLEFROMA UNIFORM
C
PSEUDO-RANDOMNUMBERGENERATOR
C
W - EXPONENTIALLYDISTRIBUTED VARIATE
C

C
C
C

DOUBLE PRECISION DA,DB

DATA PIBY2/1.57079633/,PIBY4/.785398163/
DATA THR1/0. 99/
EPS=1 .0-ALPHA
COMPUTESOME TANGENTS
PHIBY2PIBY2* (U-0. 5)
A-PHBY2*TAN2 (PHIBY2)
BB5TAN2(EPS*PHIBY2)
B=EPS*PHIBY2*BB
IF(EPS.GT.-O. 99) TAU-BPRIM (TAN2(EPS*PIBY2) *PIBY2)
IF(EPS.LE.-0.
99) TAU-BPRIME*PIBY2*EPS* (1. -EPS) *TAN2((1. -EPS) *PIBY2)
COMPUTESOME NECESSARY SUBEXPRESSIONS
IF PHI NEAR PI BY 2, USE DOUBLE PRECISION.
IF(A.GT.THR1)GO TO 50
SINGLE PRECISION
A2A$**2
A2P=1.+A2
A221.-A2
B2"B**2
B2P=1.+B2
B2=1. -B2
GO TO 100

C DOUBLE PRECISION
50 DA=DBLE(A)**2
DB=DBLE (B) **2
A21.D0-DA
A2P1 .DO+DA
B21. DO-DB
B2P-1.DO+DB

Is'

SDI __ IS'

C COMPUTECOEFFICIENT

STI

so that a comparisonof S' and SD' is a useful test of

accuracy.In our case, theseestimatesmay be pessimistic,
since the standard algorithmemploys some double precision arithmeticand SD does not increasethe precision
of these calculations.

100

Z2A2P*

(B2+2.

*PHIBY2*BB*TAU)

/ (W*A2*B2P)

C COMPUTETHE EXPONENTIAL-TYPEEXPRESSION
ALOGZ=ALOG
(Z)
D-D2 (EPS*ALOGZ/( .-EPS) ) * (ALOG/ (1 -EPS))
C COMPUTESTABLE
RSTAB (1. +EPS*D) * 2. * ((A-B) * ( 1. A*B) - PHIBY2*TAU*BB*(B*A2-2. *A})
6 / (A2*B2P)
& +TAU*D
RETURN
END
1 The readeris cautionedthat the appendixhas not been checkedby a referee.
Commentsby A. D. Schumakerare gratefullyacknowledged.

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344

Journalof the AmericanStatisticalAssociation,June 1976

CD2

EVALUATE (EXP (X) -1) /X

FUNCTION D2(Z)
DOUBLE PRECISION P1,P2,Q1,Q2,Q3,PV,ZZ
DATA P1,P2,Q1,Q2,Q3/.84006
68525 36483 239 D3
&,.20001
11415 89964 569 D2
33705 07926 648 D4
&,.16801
33704 07390 023 D3
?, .1801
&, 1.DO/
C THE APPROXIMATION 1801 FROM HART ET AL (1968,
P. 213)
TO 100
IF(ABS(Z).GT.0.1)GO
ZZ=Z*Z

PV=P1+ZZ*P2
D2=2.DO*PV/(Q1+ZZ*(Q2+ZZ*Q3) -Z*PV)
RETURN
100 D2=(EXP(Z)-1.0)/Z
RETURN
END

CTAN

TANGENT FUNCTION
FUNCTION TAN (XARG)
LOGICAL NEG,INV
DATA PO,P1,P2,QO,Q1,Q2
& /. 129221035E+3,-.887662377E+1,.528644456E-1,
&. 164529332E+3,-.451320561E+2,
1.0/
C THE APPROXIMATION 4283 FROM HART ET NL(1968,
DATA PIBY4/. 785398163/,PIBY2/1.
57079633/
DATA PI/3. 14159265/
NEG=. FALSE.

IN=.

FALSE.

X=ABS

(X)

P.

251)

X=XARG
IqEG=X.LT.0.

C PERFORM RANGE REDUCTION

IF(X.LE.PIBY4)GO
TO
X=AMOD (X, PI)
IF(X.LE.PIBY2)GO
TO
NEG=. NOT. NEG
XzPI-X
30 IF(X.LE.PIBY4)GO
TO
INV=. TRUE.
X=PIBY2-X
50 X=X/PIBY4

C CONVERT
TO
XX=X*X

RANGE

OF

IF NECESSARY
50
30
50

RATIONAL

TAN=X*(PO+XX*(P1+XX*P2) ) / (QO+XX*(QI+XX*Q2))
IF (NEG) TAN=-TAN
IF(INV) TAN=1./TAN

RETURN
END

CTAN2
COMPUTE TAN (X) /X
C
FUNCTION DEFINED ONLY FOR ABS (XARG) . LE. PI BY 4
C
FOR OTHER ARGUMENTS RETURNS TAN (X) /X, COMPUTED DIRECTLY
FUNCTION TAN2(XARG)
DATA PO,P1,P2,QO,Q1,Q2
S /. 129221035E+3,-.887662377E.1,.528644456E-1,
&. 164529332E+3,-.451320561E+2,1.0/
C THE APPROXIMATION 4283 FROM HART ET AL(1968,
P. 251)

DATA PIBY4/. 785398163/,PIBY2/1.

DATA PI/3. 14159265/
XABS (XARG)

57079633/

IF(X.GT.PIBY4)GO
TO 200
X=X/PIBY4
C CONVERT TO RANGE OF RATIONAL
XX=X*X
TAN2= (P0+XX* (P1+XX*P2) ) /(PIBY4*(QO+XX*(Q1+XX*Q2

RETURN
200 TAN2=TAN(XARG)
/XARG
RETURN
END

)))

[ReceivedJuly 1974. RevisedJuly 1975.]

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