On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
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| _version_ | 1866912590831026176 |
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| author | Grabchak, Michael Zhang, Xingnan |
| author_facet | Grabchak, Michael Zhang, Xingnan |
| contents | We derive a Dickman approximation for the small jumps of a large class of multivariate Lévy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A small-scale simulation study suggests that this method works very well. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_00239 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations Grabchak, Michael Zhang, Xingnan Probability We derive a Dickman approximation for the small jumps of a large class of multivariate Lévy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A small-scale simulation study suggests that this method works very well. |
| title | On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations |
| topic | Probability |
| url | https://arxiv.org/abs/2404.00239 |