Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes

Reiichiro Kawai, Hiroki Masuda

研究成果: Contribution to journalArticle査読

18 被引用数 (Scopus)

抄録

Exact yet simple simulation algorithms are developed for a wide class of Ornstein-Uhlenbeck processes with tempered stable stationary distribution of finite variation with the help of their exact transition probability between consecutive time points. Random elements involved can be divided into independent tempered stable and compound Poisson distributions, each of which can be simulated in the exact sense through acceptance-rejection sampling, respectively, with stable and gamma proposal distributions. We discuss various alternative simulation methods within our algorithms on the basis of acceptance rate in acceptance-rejection sampling for both high-and low-frequency sampling. Numerical results illustrate their advantage relative to the existing approximative simulation method based on infinite shot noise series representation.

本文言語英語
ページ(範囲)279-300
ページ数22
ジャーナルMonte Carlo Methods and Applications
17
3
DOI
出版ステータス出版済み - 9 2011

All Science Journal Classification (ASJC) codes

  • 統計学および確率
  • 応用数学

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