On simulation of tempered stable random variates

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:235

Article

Kawai, Reiichiro¹  Masuda, Hiroki² 

[1] Univ Leicester, Dept Math, Leicester LE1 7RH, Leics, England

[2] Kyushu Univ, Grad Sch Math, Fukuoka 8190395, Japan

关键词: Acceptance-rejection sampling;    Compound Poisson;    Gaussian approximation;    Infinite shot noise series;    Tempered stable distribution;    Characteristic function;   

DOI  :  10.1016/j.cam.2010.12.014

来源: Elsevier

【 摘 要 】

Various simulation methods for tempered stable random variates with stability index greater than one are investigated with a view towards practical implementation, in particular cases of very small scale parameter, which correspond to increments of a tempered stable Levy process with a very short stepsize. Methods under consideration are based on acceptance-rejection sampling, a Gaussian approximation of a small jump component, and infinite shot noise series representations. Numerical results are presented to discuss advantages, limitations and trade-off issues between approximation error and required computing effort. With a given computing budget, an approximative acceptance-rejection sampling technique Baeumer and Meerschaert (2009) [11] is both most efficient and handiest in the case of very small scale parameter and moreover, any desired level of accuracy may be attained with a small amount of additional computing effort. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

Free