Related papers: Rejection Sampling for Tempered Levy Processes
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to…
Temporal point processes are powerful generative models for event sequences that capture complex dependencies in time-series data. They are commonly specified using autoregressive models that learn the distribution of the next event from…
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…
We derive characteristic function identities for conditional distributions of an r-trimmed Levy process given its r largest jumps up to a designated time t. Assuming the underlying Levy process is in the domain of attraction of a stable…
We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these…
Stable distributions are a celebrated class of probability laws used in various fields. The $\alpha$-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of…
If a document is about travel, we may expect that short snippets of the document should also be about travel. We introduce a general framework for incorporating these types of invariances into a discriminative classifier. The framework…
In this paper we present a method to generate independent samples for a general random variable, either continuous or discrete. The algorithm is an extension of the acceptance-rejection method, and it is particularly useful for kinetic…
For a refracted spectrally negative Levy process, we find some new and fantastic formulas for its q-potential measures without killing. Unlike previous results, which are written in terms of the known q-scale functions, our formulas are…
In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…
Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individual stable autoregressive processes with known lag have…
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating…
We prove gradient estimates for harmonic functions with respect to a $d$-dimensional unimodal pure-jump Levy process under some mild assumptions on the density of its Levy measure. These assumptions allow for a construction of an unimodal…
Rejection sampling is a technique for sampling from difficult distributions. However, its use is limited due to a high rejection rate. Common adaptive rejection sampling methods either work only for very specific distributions or without…
Generalised hyperbolic (GH) processes are a class of stochastic processes that are used to model the dynamics of a wide range of complex systems that exhibit heavy-tailed behavior, including systems in finance, economics, biology, and…
We present an exact sampling method for the first passage event of a Levy process. The idea is to embed the process into another one whose first passage event can be sampled exactly, and then recover the part belonging to the former from…
We investigate the theoretical foundations of the simulated tempering method and use our findings to design efficient algorithms. Employing a large deviation argument first used for replica exchange molecular dynamics [Plattner et al., J.…
We study a combination of the refracted and reflected L\'evy processes. Given a spectrally negative L\'evy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a…
Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel…
We propose a coupled rejection-sampling method for sampling from couplings of arbitrary distributions. The method relies on accepting or rejecting coupled samples coming from dominating marginals. Contrary to existing acceptance-rejection…