On the simulation of general tempered stable Ornstein-Uhlenbeck processes

被引：10
|
作者：
Grabchak, Michael [1 ]
机构：
[1] Univ North Carolina Charlotte, Dept Math & Stat, Charlotte, NC 28223 USA
来源：
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2020年 / 90卷 / 06期
基金：
俄罗斯科学基金会;
关键词：
Tempered stable distributions; Ornstein-Uhlenbeck processes; rejection sampling; selfdecomposability; DISTRIBUTIONS; FINITE;
D O I：
10.1080/00949655.2020.1714621
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to general classes of both univariate and multivariate tempered stable distributions and contain a number of previously studied results as special cases.
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页码：1057 / 1081
页数：25
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