Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
نویسندگان
چکیده
We provide a simulation procedure for obtaining discretely observed values of OrnsteinUhlenbeck processes with given (self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function, completely circumvent problems encountered when trying to reproduce small jumps of Lévy processes. We provide error bounds for our procedure and asses numerically its performance.
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عنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 53 شماره
صفحات -
تاریخ انتشار 2009