An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case

DOI10.1016/j.spl.2020.109015zbMath1457.60030arXiv2009.05696OpenAlexW3085984107MaRDI QIDQ75218

Michael Grabchak, Michael Grabchak

Publication date: March 2021

Published in: Statistics & Probability Letters, Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.05696

zbMATH Keywords

simulationtempered stableRDTS

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random number generation in numerical analysis (65C10)

Related Items

Discrete tempered stable distributions, SubTS, Estimation and simulation for multivariate tempered stable distributions, Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge, Fast simulation of tempered stable Ornstein-Uhlenbeck processes, Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

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