On simulation of tempered stable random variates

DOI10.1016/j.cam.2010.12.014zbMath1217.65017OpenAlexW2063371342MaRDI QIDQ61358

Hiroki Masuda, Reiichiro Kawai, Hiroki Masuda, Reiichiro Kawai

Publication date: February 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.12.014

zbMATH Keywords

compound Poissoncharacteristic functionGaussian approximationtempered stable distributionacceptance-rejection samplinginfinite shot noise series

Mathematics Subject Classification ID

Related Items (32)

Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ A new approach to analyze the independence of statistical tests of randomness ⋮ Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations ⋮ Finite difference schemes for linear stochastic integro-differential equations ⋮ The normal tempered stable regression model ⋮ Nonnormal Small Jump Approximation of Infinitely Divisible Distributions ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management ⋮ Joint estimation for SDE driven by locally stable Lévy processes ⋮ Unbiased Simulation of Distributions with Explicitly Known Integral Transforms ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations ⋮ Synchronisation under shocks: the Lévy Kuramoto model ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Analytic solution to space-fractional Fokker–Planck equations for tempered-stable Lévy distributions with spatially linear, time-dependent drift ⋮ Fractionally integrated GARCH model with tempered stable distribution: a simulation study ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process ⋮ Computation of Greeks for asset price dynamics driven by stable and tempered stable processes ⋮ Modelling tail risk with tempered stable distributions: an overview ⋮ TempStable ⋮ Simulation of Tempered Stable Lévy Bridges and Its Applications ⋮ An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case ⋮ Volatility activity: specification and estimation ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ Estimation and simulation for multivariate tempered stable distributions ⋮ Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes ⋮ Moment-based estimation for parameters of general inverse subordinator ⋮ LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL ⋮ Rejection sampling for tempered Lévy processes ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes ⋮ Discussion of `On simulation and properties of the stable law' by Devroye and James

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• Tempered stable Lévy motion and transient super-diffusion
• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
• Tempering stable processes
• On the computer generation of random variables with a given characteristic function
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Approximations of small jumps of Lévy processes with a view towards simulation
• Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
• Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations
• Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• A Method for Simulating Stable Random Variables
• On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Random variate generation for exponentially and polynomially tilted stable distributions
• Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
• A Representation of Independent Increment Processes without Gaussian Components

This page was built for publication: On simulation of tempered stable random variates