Simulation of Student–Lévy processes using series representations
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00180-018-0814-y/fulltext.html
Reference33 articles.
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3. Barndorff-Nielsen O, Halgreen C (1977) Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions. Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 38(4):309–311
4. Blattberg RC, Gonedes NJ (1974) A comparison of the stable and Student distributions as statistical models for stock prices. J Bus 47(2):244–280
5. Bondesson L (1982) On simulation from infinitely divisible distributions. Adv Appl Probab 14(4):855–869
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