Journal
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume 90, Issue 6, Pages 1057-1081Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/00949655.2020.1714621
Keywords
Tempered stable distributions; Ornstein-Uhlenbeck processes; rejection sampling; selfdecomposability
Funding
- Russian Science Foundation [17-11-01098]
- Russian Science Foundation [20-11-18016] Funding Source: Russian Science Foundation
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We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to general classes of both univariate and multivariate tempered stable distributions and contain a number of previously studied results as special cases.
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