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

DOI10.1016/J.SPL.2020.109015MaRDI QIDQ75218zbMATHOpenAlexFDO

Authors Michael Grabchak, Michael Grabchak

Publication date March 2021

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

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

zbMATH Keywords

RDTSsimulationtempered stable

Mathematics Subject Classification ID

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

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.

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Cited in

(9)

• 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
• On simulation of tempered stable random variates
• Discrete tempered stable distributions
• Estimation for multivariate normal rapidly decreasing tempered stable distributions
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Exact simulation for a class of tempered stable and related distributions
• Estimation and simulation for multivariate tempered stable distributions
• SubTS

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