On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations
Probability
2025-09-19 v2
Abstract
We derive a Dickman approximation for the small jumps of a large class of multivariate L\'evy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A small-scale simulation study suggests that this method works very well.
Cite
@article{arxiv.2404.00239,
title = {On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations},
author = {Michael Grabchak and Xingnan Zhang},
journal= {arXiv preprint arXiv:2404.00239},
year = {2025}
}