Discrete Tempered Stable Distributions

Autor:	Michael Grabchak
Rok vydání:	2021
Předmět:	Statistics and Probability Class (set theory) symbols.namesake General Mathematics Rejection sampling symbols Applied mathematics Poisson distribution Representation (mathematics) Lévy process Mathematics Count data
Zdroj:	Methodology and Computing in Applied Probability. 24:1877-1890
ISSN:	1573-7713 1387-5841
DOI:	10.1007/s11009-021-09904-3
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1e8a2f773a9262ec12e849bf555ed2f7 https://doi.org/10.1007/s11009-021-09904-3 Zobrazit plný text záznamu Full text from SpringerLink