Numerical inverse Lévy measure method for infinite shot noise series representation
نویسندگان
چکیده
منابع مشابه
Numerical inverse Lévy measure method for infinite shot noise series representation
Infinitely divisible random vectors without Gaussian component admit representations with shot noise series. We analyze four known methods of deriving kernels of the series and reveal the superiority of the inverse Lévy measure method over the other three methods for simulation use. We propose a numerical approach to the inverse Lévy measure method, which in most cases, provides no explicit ker...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2013
ISSN: 0377-0427
DOI: 10.1016/j.cam.2013.04.003