کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4639938 | 1341253 | 2011 | 15 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: On simulation of tempered stable random variates On simulation of tempered stable random variates](/preview/png/4639938.png)
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.
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 8, 15 February 2011, Pages 2873–2887