Discrete Tempered Stable Distributions

被引：3

作者：

Grabchak, Michael ^{[1
]}

机构：

[1] Univ North Carolina Charlotte, Charlotte, NC 28223 USA

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2022年 / 24卷 / 03期

关键词：

Discrete tempered stable; Discrete stable; Simulation; Overdispersion;

D O I：

10.1007/s11009-021-09904-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Discrete tempered stable distributions are a large and flexible class of models for heavy tailed and overdispersed count data. In this paper we derive various properties of these distributions and develop an exact simulation method based on rejection sampling and a compound Poisson representation. We extend this method to exact simulation of the corresponding bilateral distributions and Levy processes.

引用

页码：1877 / 1890

页数：14

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