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Generating Tempered Stable Random Variates from Mixture Representation

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  • Piotr Jelonek

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    Abstract

    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.

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    File URL: http://www.le.ac.uk/economics/research/repec/lec/leecon/dp12-14.pdf
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    Bibliographic Info

    Paper provided by Department of Economics, University of Leicester in its series Discussion Papers in Economics with number 12/14.

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    Date of creation: Jun 2012
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    Handle: RePEc:lec:leecon:12/14

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    Related research

    Keywords: heavy tails; random number generation; tempered stable distribution;

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