Rejection sampling for tempered Levy processes

被引：14
|
作者：
Grabchak, Michael [1 ]
机构：
[1] Univ North Carolina Charlotte, Charlotte, NC 28223 USA
来源：
STATISTICS AND COMPUTING | 2019年 / 29卷 / 03期
基金：
俄罗斯科学基金会;
关键词：
Tempered Levy processes; Tempered stable distributions; Rejection sampling;
D O I：
10.1007/s11222-018-9822-6
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
We extend the idea of tempering stable Levy processes to tempering more general classes of Levy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large jumps. We then use this to set up a rejection sampling algorithm for sampling from the tempered process. A small-scale simulation study is given to help understand the performance of this algorithm.
引用
收藏
页码：549 / 558
页数：10
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