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
收藏
页码：1057 / 1081
页数：25
相关论文
共 50 条
  • [31] Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
    Donati-Martin, C
    Rouault, A
    Yor, M
    Zani, M
    PROBABILITY THEORY AND RELATED FIELDS, 2004, 129 (02) : 261 - 289
  • [32] Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
    C. Donati-Martin
    A. Rouault
    M. Yor
    M. Zani
    Probability Theory and Related Fields, 2004, 129 : 261 - 289
  • [33] The class of distributions of periodic Ornstein-Uhlenbeck processes driven by Levy processes
    Pedersen, J
    Sato, KI
    JOURNAL OF THEORETICAL PROBABILITY, 2005, 18 (01) : 209 - 235
  • [34] Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by α-stable noises
    Zhang, Xuekang
    Yi, Haoran
    Shu, Huisheng
    STATISTICS & PROBABILITY LETTERS, 2020, 156
  • [35] Nonparametric inference for Levy-driven Ornstein-Uhlenbeck processes
    Jongbloed, G
    Van der Meulen, FH
    Van der Vaart, AW
    BERNOULLI, 2005, 11 (05) : 759 - 791
  • [36] EXIT PROBLEM FOR ORNSTEIN-UHLENBECK PROCESSES: A RANDOM WALK APPROACH
    Herrmann, Samuel
    Massin, Nicolas
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2020, 25 (08): : 3199 - 3215
  • [37] Statistical inference in discretely observed fractional Ornstein-Uhlenbeck processes
    Li, Yicun
    Teng, Yuanyang
    CHAOS SOLITONS & FRACTALS, 2023, 177
  • [38] FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN-UHLENBECK PROCESSES
    Bo, Lijun
    Ren, Guijun
    Wang, Yongjin
    Yang, Xuewei
    STOCHASTICS AND DYNAMICS, 2013, 13 (01)
  • [39] Likelihood theory for the graph Ornstein-Uhlenbeck process
    Courgeau, Valentin
    Veraart, Almut E. D.
    STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 2022, 25 (02) : 227 - 260
  • [40] Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
    Qu, Yan
    Dassios, Angelos
    Zhao, Hongbiao
    JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2021, 72 (02) : 471 - 484
12345