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Exact simulation for a class of tempered stable

Dassios, Angelos, Qu, Yan and Zhao, Hongbiao (2018) Exact simulation for a class of tempered stable. ACM Transactions on Modeling and Computer Simulation, 28 (3). ISSN 1049-3301

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Identification Number: 10.1145/3184453

Abstract

In this paper, we develop a new scheme of exact simulation for a class of tempered stable (TS) and other related distributions with similar Laplace transforms. We discover some interesting integral representations for the underlying density functions that imply a unique simulation framework based on a backward recursive procedure. Therefore, the foundation of this simulation design is very different from existing schemes in the literature. It works pretty efficiently for some subclasses of TS distributions, where even the conventional acceptancerejection mechanism can be avoided. It can also generate some other distributions beyond the TS family. For applications, this scheme could be easily adopted to generate a variety of TSconstructed random variables and TS-driven stochastic processes for modelling observational series in practice. Numerical experiments and tests are performed to demonstrate the accuracy and effectiveness of our scheme

Item Type: Article
Official URL: https://tomacs.acm.org/
Additional Information: © 2018 ACM
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 06 Mar 2018 16:18
Last Modified: 20 Nov 2019 05:29
Projects: #71401147
Funders: National Natural Science Foundation of China, Shanghai University of Finance and Economics
URI: http://eprints.lse.ac.uk/id/eprint/86981

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