期刊
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
卷 41, 期 1, 页码 125-139出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/03610918.2011.582561
关键词
Acceptance-rejection sampling; Levy process; Ornstein-Uhlenbeck processes; Self decomposability; Tempered stable process; Transition law
资金
- Grants-in-Aid for Scientific Research [23740082] Funding Source: KAKEN
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 Levy processes.
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