Exact simulation of tempered stable Ornstein–Uhlenbeck processes

DOI10.1080/00949655.2010.494247zbMath1267.65002MaRDI QIDQ5300752

Shibin Zhang

Publication date: 28 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.494247

zbMATH Keywords

self-decomposability; rejection method; Ornstein-Uhlenbeck; random sample generation; tempered stable

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62E15: Exact distribution theory in statistics

65C10: Random number generation in numerical analysis

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Exact simulation of Ornstein–Uhlenbeck tempered stable processes, Gamma-related Ornstein–Uhlenbeck processes and their simulation*, On the simulation of general tempered stable Ornstein–Uhlenbeck processes, Inference based on adaptive grid selection of probability transforms, Point process simulation of generalised hyperbolic Lévy processes, Discussion of `On simulation and properties of the stable law' by Devroye and James, Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes, Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral, Fast simulation of tempered stable Ornstein-Uhlenbeck processes, Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

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