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|Title:||On Simulation of Tempered Stable Random Variates|
|Citation:||Journal of Computational and Applied Mathematics, 2011, 235 (8), pp. 2873-2887|
|Abstract:||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 Lévy process with a very short stepsize. Methods under consideration are based on acceptance–rejection 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 acceptance–rejection sampling technique Baeumer and Meerschaert (2009)  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.|
|Rights:||This is the author’s final draft of the paper published as Journal of Computational and Applied Mathematics, 2011, 235 (8), pp. 2873-2887. The final published version is available at http://www.sciencedirect.com/science/journal/03770427, Doi: 10.1016/j.cam.2010.12.014.|
|Appears in Collections:||Published Articles, Dept. of Mathematics|
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