TY - JOUR
T1 - On simulation of tempered stable random variates
AU - Kawai, Reiichiro
AU - Masuda, Hiroki
N1 - Copyright:
Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2011/2/15
Y1 - 2011/2/15
N2 - 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 Lvy process with a very short stepsize. Methods under consideration are based on acceptancerejection 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 acceptancerejection 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.
AB - 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 Lvy process with a very short stepsize. Methods under consideration are based on acceptancerejection 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 acceptancerejection 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.
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U2 - 10.1016/j.cam.2010.12.014
DO - 10.1016/j.cam.2010.12.014
M3 - Article
AN - SCOPUS:79251594264
VL - 235
SP - 2873
EP - 2887
JO - Journal of Computational and Applied Mathematics
JF - Journal of Computational and Applied Mathematics
SN - 0377-0427
IS - 8
ER -