On Exact Sampling of Nonnegative Infinitely Divisible Random Variables

DOI10.1239/aap/1346955267zbMath1261.60023OpenAlexW2037558137MaRDI QIDQ3167341

Zhiyi Chi

Publication date: 2 November 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1346955267

zbMATH Keywords

infinitely divisibleexact samplingrejection sampling

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sampling theory, sample surveys (62D05)

Related Items

Exact simulation of generalised Vervaat perpetuities ⋮ Nonnormal Small Jump Approximation of Infinitely Divisible Distributions ⋮ Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models ⋮ Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities ⋮ An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case ⋮ Exact simulation of the extrema of stable processes ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation

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