On simulation of tempered stable random variates
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Cites work
- scientific article; zbMATH DE number 1639863 (Why is no real title available?)
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 3736690 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- A Representation of Independent Increment Processes without Gaussian Components
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
- Approximations of small jumps of Lévy processes with a view towards simulation
- Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Modelling Cell Generation Times by Using the Tempered Stable Distribution
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes
- On the computer generation of random variables with a given characteristic function
- Quasi-Monte Carlo method for infinitely divisible random vectors via series representations
- Random variate generation for exponentially and polynomially tilted stable distributions
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
Cited in
(36)- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
- Unbiased simulation of distributions with explicitly known integral transforms
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- A new approach to analyze the independence of statistical tests of randomness
- Discrete tempered stable distributions
- Nonnormal small jump approximation of infinitely divisible distributions
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Analytical and numerical solutions to ergodic control problems arising in environmental management
- Rejection sampling for tempered Lévy processes
- Finite time ruin probabilities for tempered stable insurance risk processes
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
- Joint estimation for SDE driven by locally stable Lévy processes
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- The normal tempered stable regression model
- Exact simulation for a class of tempered stable and related distributions
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- Estimation and simulation for multivariate tempered stable distributions
- Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- TempStable
- A Monte Carlo algorithm for the extrema of tempered stable processes
- Moment-based estimation for parameters of general inverse subordinator
- Finite difference schemes for linear stochastic integro-differential equations
- Synchronisation under shocks: the Lévy Kuramoto model
- Analytic solution to space-fractional Fokker-Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift
- Volatility activity: specification and estimation
- Numerical inverse Lévy measure method for infinite shot noise series representation
- Parametric estimation of tempered stable laws
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study
- Lookback option prices under a spectrally negative tempered-stable model
- Modelling tail risk with tempered stable distributions: an overview
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
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