Generating Tempered Stable Random Variates from Mixture Representation
暂无分享,去创建一个
[1] Svetlana Boyarchenko,et al. OPTION PRICING FOR TRUNCATED LÉVY PROCESSES , 2000 .
[2] A. Basu,et al. Statistical Inference: The Minimum Distance Approach , 2011 .
[3] Koponen,et al. Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process. , 1995, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[4] C. Mallows,et al. A Method for Simulating Stable Random Variables , 1976 .
[5] Luc Devroye,et al. On the computer generation of random variables with a given characteristic function , 1981 .
[6] Byron J. T. Morgan,et al. Modelling cell generation times by using the tempered stable distribution , 2008 .
[7] Serge Cohen,et al. Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes , 2007 .
[8] A. W. Kemp,et al. Kendall's Advanced Theory of Statistics. , 1994 .
[9] A. Brix. Generalized Gamma measures and shot-noise Cox processes , 1999, Advances in Applied Probability.
[10] M. S. Ridout,et al. Generating random numbers from a distribution specified by its Laplace transform , 2009, Stat. Comput..
[11] Mark M. Meerschaert,et al. Tempered stable Lévy motion and transient super-diffusion , 2010, J. Comput. Appl. Math..
[12] J. Rosínski. Tempering stable processes , 2007 .
[13] Mark M. Meerschaert,et al. Tempered stable laws as random walk limits , 2010, 1007.3474.
[14] M. Yor,et al. The Fine Structure of Asset Retums : An Empirical Investigation ' , 2006 .
[15] Luc Devroye,et al. Random variate generation for exponentially and polynomially tilted stable distributions , 2009, TOMC.
[16] Hiroki Masuda,et al. On simulation of tempered stable random variates , 2010, J. Comput. Appl. Math..
[17] 竹中 茂夫. G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance , 1996 .
[18] M. Taqqu,et al. Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance , 1995 .
[19] Stefan Mittnik,et al. Computing the probability density function of the stable Paretian distribution , 1999 .