Exact simulation of IG-OU processes

DOI10.1007/s11009-007-9056-0zbMath1192.68801OpenAlexW2090162582MaRDI QIDQ1042535

Shibin Zhang, Xin Sheng Zhang

Publication date: 14 December 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9056-0

zbMATH Keywords

Lévy processestimating functioninverse Gaussianrandom sample generationprocess of Ornstein-Uhlenbeck type

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Markov processes: estimation; hidden Markov models (62M05) Random number generation in numerical analysis (65C10)

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