High-Performance Simulation of Generalized Tempered Stable Random Variates: Exact and Numerical Methods for Heavy-Tailed Data
The Generalized Tempered Stable (GTS) distribution extends classical stable laws through exponential tempering, preserving the power-law behavior while ensuring finite moments. This makes it especially suitable for modeling heavy-tailed financial data. However, the lack of closed-form densities pose...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2025-09-01
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| Col·lecció: | Mathematical and Computational Applications |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2297-8747/30/5/106 |
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