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Generating Tempered Stable Random Variates from Mixture Representation

The paper presents a new method of random number generation for tempered stable distribution. This method is easy to implement, faster than other available approaches when tempering is moderate and more accurate than the benchmark. All the results are given as parametric formulas that may be directly used by practitioners.
Year of publication:
2012-06
Authors: Jelonek, Piotr
Institutions: Department of Economics, Leicester University
Subject: heavy tails | random number generation | tempered stable distribution
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 12/14
Classification: C15 - Statistical Simulation Methods; Monte Carlo Methods ; c46 ; C63 - Computational Techniques
Source:
Persistent link: https://www.econbiz.de/10010570833
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