On simulation of tempered stable random variates
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Publication:61358
DOI10.1016/J.CAM.2010.12.014zbMATH Open1217.65017OpenAlexW2063371342MaRDI QIDQ61358FDOQ61358
Authors: Reiichiro Kawai, Hiroki Masuda, Reiichiro Kawai, Hiroki Masuda 
Publication date: February 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.12.014
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acceptance-rejection samplingcharacteristic functioncompound PoissonGaussian approximationinfinite shot noise seriestempered stable distribution
Convergence of probability measures (60B10) Infinitely divisible distributions; stable distributions (60E07) Random number generation in numerical analysis (65C10)
Cites Work
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- Tempering stable processes
Cited In (34)
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- The normal tempered stable regression model
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Lookback option prices under a spectrally negative tempered-stable model
- Modelling tail risk with tempered stable distributions: an overview
- Unbiased simulation of distributions with explicitly known integral transforms
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Estimation and simulation for multivariate tempered stable distributions
- Rejection sampling for tempered Lévy processes
- Nonnormal small jump approximation of infinitely divisible distributions
- Analytic solution to space-fractional Fokker–Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift
- A new approach to analyze the independence of statistical tests of randomness
- Finite difference schemes for linear stochastic integro-differential equations
- Volatility activity: specification and estimation
- Analytical and numerical solutions to ergodic control problems arising in environmental management
- A Monte Carlo algorithm for the extrema of tempered stable processes
- Parametric estimation of tempered stable laws
- Joint estimation for SDE driven by locally stable Lévy processes
- TempStable
- Finite time ruin probabilities for tempered stable insurance risk processes
- Synchronisation under shocks: the Lévy Kuramoto model
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
- Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- Moment-based estimation for parameters of general inverse subordinator
- 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
- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
- Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
- Numerical inverse Lévy measure method for infinite shot noise series representation
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