On simulation of tempered stable random variates
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Publication:61358
DOI10.1016/J.CAM.2010.12.014zbMATH Open1217.65017OpenAlexW2063371342MaRDI QIDQ61358FDOQ61358
Hiroki Masuda, Hiroki Masuda, Reiichiro Kawai, Reiichiro Kawai
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
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)
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Cited In (33)
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- The normal tempered stable regression model
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- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
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