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

页码：549 / 558

页数：10

共 50 条

[41] On the Rejection Rate of Exact Sampling Algorithm for Discrete Gaussian Distributions over the Integers [J].

Yusong Du ;

Xiao Ma .

Theory of Computing Systems, 2022, 66 :1099-1122

[42] On the Rejection Rate of Exact Sampling Algorithm for Discrete Gaussian Distributions over the Integers [J].

Du, Yusong ;

Ma, Xiao .

THEORY OF COMPUTING SYSTEMS, 2022, 66 (06) :1099-1122

[43] Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type [J].

Sabino, Piergiacomo .

RISKS, 2022, 10 (08)

[44] ADAPTIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS VIA NATURAL EMBEDDINGS AND REJECTION SAMPLING WITH MEMORY [J].

Rackauckas, Christopher ;

Nie, Qing .

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2017, 22 (07) :2731-2761

[45] A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets [J].

Maatouk, Hassan ;

Bay, Xavier .

MONTE CARLO AND QUASI-MONTE CARLO METHODS, 2016, 163 :521-530

[46] A New Adaptive Rejection Sampling Method Using Kernel Density Approximations and Its Application to Subset Simulation [J].

Jia, Gaofeng ;

Taflanidis, Alexandros A. ;

Beck, James L. .

ASCE-ASME JOURNAL OF RISK AND UNCERTAINTY IN ENGINEERING SYSTEMS PART A-CIVIL ENGINEERING, 2017, 3 (02)

[47] Rejection sampling for Bayesian uncertainty evaluation using the Monte Carlo techniques of GUM-S1 [J].

Marschall, Manuel ;

Wuebbeler, Gerd ;

Elster, Clemens .

METROLOGIA, 2022, 59 (01)

[48] Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? [J].

Grabchak M. .

Annals of Finance, 2014, 10 (4) :553-568

[49] Sampling sup-normalized spectral functions for Brown-Resnick processes [J].

Oesting, Marco ;

Schlather, Martin ;

Schillings, Claudia .

STAT, 2019, 8 (01)

[50] Don’t Reject This: Key-Recovery Timing Attacks Due to Rejection-Sampling in HQC and BIKE [J].

Guo Q. ;

Hlauschek C. ;

Johansson T. ;

Lahr N. ;

Nilsson A. ;

Schröder R.L. .

IACR Transactions on Cryptographic Hardware and Embedded Systems, 2022, 2022 (03) :223-263

← 1 2 3 4 5 →