Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations

Reiichiro Kawai, Hiroki Masuda

研究成果: Contribution to journalArticle査読

21 被引用数 (Scopus)

抄録

We investigate transition law between consecutive observations of Ornstein-Uhlenbeck processes of infinite variation with tempered stable stationary distribution. Thanks to the Markov autoregressive structure, the transition law can be written in the exact sense as a convolution of three random components; a compound Poisson distribution and two independent tempered stable distributions, one with stability index in (0, 1) and the other with index in (1, 2). We discuss simulation techniques for those three random elements. With the exact transition law and proposed simulation techniques, sample paths simulation proves significantly more efficient, relative to the known approximative technique based on infinite shot noise series representation of tempered stable Lévy processes.

本文言語英語
ページ(範囲)125-139
ページ数15
ジャーナルCommunications in Statistics: Simulation and Computation
41
1
DOI
出版ステータス出版済み - 1 2012

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation

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