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Journal of Statistical Computation and Simulation Volume 90, 2020 - Issue 6
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On the simulation of general tempered stable Ornstein–Uhlenbeck processes

Michael GrabchakDepartment of Mathematics and Statistics, University of North Carolina Charlotte, Charlotte, NC, USACorrespondence[email protected]
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Pages 1057-1081 | Received 14 Oct 2019, Accepted 07 Jan 2020, Published online: 21 Jan 2020

Citations (9)

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Read on this site (2)

Yunfei Xia & Michael Grabchak. (2022) Estimation and simulation for multivariate tempered stable distributions. Journal of Statistical Computation and Simulation 92:3, pages 451-475.
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Piergiacomo Sabino & Nicola Cufaro Petroni. (2021) Gamma-related Ornstein–Uhlenbeck processes and their simulation*. Journal of Statistical Computation and Simulation 91:6, pages 1108-1133.
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Articles from other publishers (7)

Michael Grabchak & Piergiacomo Sabino. (2022) Efficient simulation of p-tempered $$\alpha $$-stable OU processes. Statistics and Computing 33:1.
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Piergiacomo Sabino & Nicola Cufaro Petroni. (2022) Fast simulation of tempered stable Ornstein–Uhlenbeck processes. Computational Statistics 37:5, pages 2517-2551.
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Piergiacomo Sabino. (2022) Exact simulation of normal tempered stable processes of OU type with applications. Statistics and Computing 32:5.
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Michael Grabchak. (2021) Discrete Tempered Stable Distributions. Methodology and Computing in Applied Probability 24:3, pages 1877-1890.
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Kevin W. Lu. (2021) Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. Statistical Inference for Stochastic Processes 25:2, pages 365-396.
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Michael Grabchak. (2021) On the transition laws of p-tempered $$\alpha $$-stable OU-processes. Computational Statistics 36:2, pages 1415-1436.
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Michael Grabchak. (2021) An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case. Statistics & Probability Letters 170, pages 109015.
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