Simulation of Student-Lévy processes using series representations
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Publication:1729303
DOI10.1007/s00180-018-0814-yzbMath1417.60036OpenAlexW2804794450MaRDI QIDQ1729303
Publication date: 27 February 2019
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-018-0814-y
numerical inversionLévy processsimulation studyStudent \(t\) distributionpure jump processsample path simulation
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Random number generation in numerical analysis (65C10)
Related Items (2)
Local asymptotic normality for Student-Lévy processes under high-frequency sampling ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes
Cites Work
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