Exact Simulation from Tempered Stable Distributions with Infinite Variation ($α\ge1$)
Fuente:
arXiv
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| Auteur principal: | |
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866915944857600000 |
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| author | Grabchak, Michael |
| author_facet | Grabchak, Michael |
| contents | We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to $α\in[1,2)$. A small simulation study shows that the approach works well. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_17732 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Exact Simulation from Tempered Stable Distributions with Infinite Variation ($α\ge1$) Grabchak, Michael Probability We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to $α\in[1,2)$. A small simulation study shows that the approach works well. |
| title | Exact Simulation from Tempered Stable Distributions with Infinite Variation ($α\ge1$) |
| topic | Probability |
| url | https://arxiv.org/abs/2604.17732 |