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An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
Statistics & Probability Letters ( IF 0.8 ) Pub Date : 2021-03-01 , DOI: 10.1016/j.spl.2020.109015
Michael Grabchak

Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in the finite variation case. Our methodology works for the wider class of $p$-RDTS distributions.

中文翻译:

一种在有限变分情况下模拟快速递减回火稳定分布的精确方法

快速下降的缓和稳定分布是金融应用的有用模型。然而,在文献中没有可用的精确模拟方法。我们通过在有限变化情况下引入精确的模拟方法来解决这个问题。我们的方法适用于更广泛的 $p$-RDTS 分布类别。
更新日期:2021-03-01
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