| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383048 | Physica A: Statistical Mechanics and its Applications | 2011 | 15 Pages |
Abstract
⺠We derive three types of series representations for the tempered stable laws. ⺠Thinning, rejection, and inverse Levy measure methods are examined. ⺠We prove that the inverse Levy measure method is the best in capturing tail mass. ⺠Numerical results show that the proposed method is the most accurate in practice.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Junichi Imai, Reiichiro Kawai,