An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case

DOI10.1016/J.SPL.2020.109015zbMATH Open1457.60030arXiv2009.05696OpenAlexW3085984107MaRDI QIDQ75218FDOQ75218

Authors: Michael Grabchak, Michael Grabchak 

Publication date: March 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in the finite variation case. Our methodology works for the wider class of $p$-RDTS distributions.

Full work available at URL: https://arxiv.org/abs/2009.05696

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zbMATH Keywords

RDTSsimulationtempered stable

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random number generation in numerical analysis (65C10)

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Cited In (9)

• Estimation for multivariate normal rapidly decreasing tempered stable distributions
• Exact simulation for a class of tempered stable and related distributions
• Estimation and simulation for multivariate tempered stable distributions
• Discrete tempered stable distributions
• On simulation of tempered stable random variates
• SubTS
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes

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