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<p>We show that a methodology developed in a series of papers to efficiently simulate from truncated stable distributions is flawed and does not produce samples from the intended distribution. Specifically, we provide a counterexample showing that a result related to the truncation of products of random variables, upon which this methodology relies, is false.</p>

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On the simulation of truncated stable distributions: a correction to the literature

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年7月30日

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  • Michael Grabchak

摘要

We show that a methodology developed in a series of papers to efficiently simulate from truncated stable distributions is flawed and does not produce samples from the intended distribution. Specifically, we provide a counterexample showing that a result related to the truncation of products of random variables, upon which this methodology relies, is false.