Estimation and simulation for multivariate tempered stable distributions

DOI10.1080/00949655.2021.1962878OpenAlexW3198090635MaRDI QIDQ3390458

Michael Grabchak, Yunfei Xia

Publication date: 24 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.1962878

zbMATH Keywords

discretizationinfinitely divisible distributionstempered stable distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Infinitely divisible distributions; stable distributions (60E07) Statistics (62-XX)

Related Items (3)

Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model ⋮ Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

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