Tempered stable Ornstein– Uhlenbeck processes: A practical view

DOI10.1080/03610918.2014.966834zbMath1366.60078OpenAlexW3122666218MaRDI QIDQ2965581

Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 3 March 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.966834

zbMATH Keywords

maximum likelihood estimationOrnstein-Uhlenbeck processestempered stable distributionsacceptance-rejection samplingtempered infinitely divisible distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stable stochastic processes (60G52) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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