Exact Simulation from Tempered Stable Distributions with Infinite Variation ($\alpha\ge1$)
Probability
2026-04-21 v1
Abstract
We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to . A small simulation study shows that the approach works well.
Cite
@article{arxiv.2604.17732,
title = {Exact Simulation from Tempered Stable Distributions with Infinite Variation ($\alpha\ge1$)},
author = {Michael Grabchak},
journal= {arXiv preprint arXiv:2604.17732},
year = {2026}
}