Treffer: Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations

Title:
Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations
Authors:
KAWAI, Reiichiro, MASUDA, Hiroki
Source:
Communications in statistics. Simulation and computation. 41(1-2):125-139
Publisher Information:
Colchester: Taylor & Francis, 2012.
Publication Year:
2012
Physical Description:
print, 1/4 p
Original Material:
INIST-CNRS
Subject Terms:
Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Lois de probabilités, Distribution theory, Processus stochastiques, Stochastic processes, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Probabilités et statistiques numériques, Numerical methods in probability and statistics, Bruit grenaille, Shot noise, Ruido granalla, Convolution, Convolución, Loi Poisson, Poisson distribution, Ley Poisson, Modèle simulation, Simulation model, Modelo simulación, Méthode statistique, Statistical method, Método estadístico, Processus Lévy, Lévy process, Proceso Lévy, Processus Ornstein Uhlenbeck, Ornstein Uhlenbeck process, Proceso Ornstein Uhlenbeck, Processus autorégressif, Autoregressive processes, Processus stable, Stable process, Proceso estable, Simulation numérique, Numerical simulation, Simulación numérica, Stabilité numérique, Numerical stability, Estabilidad numérica, 60E07, 60G17, 60G52, Echantillonnage rejet, Rejection sampling, Loi stationnaire, Stationary distribution, 60J75, 62E15, 65C10, 68U20, Acceptance-rejection sampling, Ornstein-Uhlenbeck Self decomposability, Self decomposability, Tempered stable process, Transition law, processes
Document Type:
Fachzeitschrift Article
File Description:
text
Language:
English
Author Affiliations:
Department of Mathematics, University of Leicester, Leicester, United Kingdom
Institute of Mathematics for Industry, Kyushu University, Fukuoka, Japan
ISSN:
0361-0918
Access URL:
http://pascal-francis.inist.fr/vibad/index.php?action=search&terms=25576916
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.25576916
Database:
PASCAL Archive

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We investigate transition law between consecutive observation of Ornstein-Uhlenbeck processes of infinite variation with tempered stable stationary distribution. Thanks to the Markov autoregressive structure, the transition law can be written in the exact sense as a convolution of three random components; a compound Poisson distribution and two independent tempered stable distributions, one with stability index in (0, 1) and the other with index in (1, 2). We discuss simulation techniques for those three random elements. With the exact transition law and proposed simulation techniques, sample paths simulation proves significantly more efficient, relative to the known approximative technique based on infinite shot noise series representation of tempered stable Lévy processes.