Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications
Probability
2024-05-28 v1
Abstract
The paper describes the self-decomposable distribution and the background driving L\'evy process (BDLP) associated with the Generalized Tempered Stable (GTS) distribution. Two distributions are provided: the background driving L\'evy process (BDLP) of the GTS distribution and the self-decomposable distribution generated by the GTS distribution as BDLP. The derived self-decomposable distribution and the GTS distribution are used as stationary distribution in the Ornstein-Uhlenbeck type process. A simulation method, based on sampling the random integral representation, is applied to mimic S&P 500 Index and Bitcoin daily cumulative return process.
Keywords
Cite
@article{arxiv.2405.16614,
title = {Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications},
author = {A. H. Nzokem},
journal= {arXiv preprint arXiv:2405.16614},
year = {2024}
}
Comments
28 pages, 10 figures