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Title: Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations
Authors: Kawai, Reiichiro
Masuda, Hiroki
First Published: 2011
Publisher: Taylor & Francis
Citation: Communications in Statistics - Simulation and Computation, 2012, 41(1), pp. 125-139.
Abstract: 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.
DOI Link: 10.1080/03610918.2011.582561
ISSN: 0361-0918
eISSN: 1532-4141
Version: Post-print
Status: Peer-reviewed
Type: Article
Rights: © Taylor & Francis 2011. Deposited with reference to the publisher's self-archiving policy available on the SHERPA/RoMEO website.
Description: This is an electronic version of an article published in Communications in Statistics - Simulation and Computation, 2012, 41(1), pp. 125-139. Communications in Statistics - Simulation and Computation is available online at:
Appears in Collections:Published Articles, Dept. of Mathematics

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