Simulation methods and error analysis for trawl processes and ambit fields

DOI10.1016/J.MATCOM.2023.07.018MaRDI QIDQ6089636zbMATH OpenFDO

Authors Dan Leonte, Almut E. D. Veraart

Publication date 13 November 2023

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2208.08784

zbMATH Keywords

ambit fieldsInfinite divisibilityLévy basesnumerical study of stochastic processesserial correlationstochastic simulationtrawl processes

Mathematics Subject Classification ID

Numerical analysis (65-XX) Computer science (68-XX)

Abstract: Trawl processes are continuous-time, stationary and infinitely divisible processes which can describe a wide range of possible serial correlation patterns in data. In this paper, we introduce new simulation algorithms for trawl processes with monotonic trawl functions and establish their error bounds and convergence properties. We extensively analyse the computational complexity and practical implementation of these algorithms and discuss which one to use depending on the type of L'evy basis. We extend the above methodology to the simulation of kernel-weighted, volatility modulated trawl processes and develop a new simulation algorithm for ambit fields. Finally, we discuss how simulation schemes previously described in the literature can be combined with our methods for decreased computational cost.

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Cited in

(2)

• Flexible Lévy-based models for time series of count data with zero-inflation, overdispersion, and heavy tails
• Periodic trawl processes: simulation, statistical inference and applications in energy markets

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