Sampling exponentially tilted stable distributions

DOI10.1145/2043635.2043638zbMATH Open1386.65051OpenAlexW2018857587MaRDI QIDQ4635182FDOQ4635182

Authors: Marius Hofert 

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2043635.2043638

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zbMATH Keywords

stable distributionsexponentially tilted stable distributionssampling algorithmsLaplace-Stieltjes transforms

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Cited In (27)

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• Normal Tempered Stable Processes and the Pricing of Energy Derivatives
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• Fractional Poisson process time-changed by Lévy subordinator and its inverse
• Stick-breaking representation and computation for normalized generalized gamma processes
• The tempered discrete Linnik distribution
• Estimation and simulation for multivariate tempered stable distributions
• Efficient simulation of Lévy-driven point processes
• Integro-differential equations linked to compound birth processes with infinitely divisible addends
• Random variate generation and connected computational issues for the Poisson-Tweedie distribution
• Right-truncated Archimedean and related copulas
• Modeling international trade data with the Tweedie distribution for anti-fraud and policy support
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• The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula
• TempStable
• An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
• Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions
• Tempered space fractional negative binomial process
• On the optimality and stability of exponential twisting in Monte Carlo estimation
• Sparse Graphs Using Exchangeable Random Measures
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• Exact simulation of normal tempered stable processes of OU type with applications
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes
• Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs

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