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.

引用

页码：1057 / 1081

页数：25

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