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Title: On Simulation of Tempered Stable Random Variates
Authors: Kawai, Reiichiro
Masuda, Hiroki
First Published: 21-Dec-2010
Publisher: Elsevier
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) [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.
DOI Link: 10.1016/
ISSN: 0377-0427
Type: Article
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, Doi: 10.1016/
Appears in Collections:Published Articles, Dept. of Mathematics

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