Exact Simulation from Tempered Stable Distributions with Infinite Variation ($\alpha\ge1$)

TL;DR

This paper introduces the first exact and computationally feasible method for simulating from tempered stable distributions with infinite variation, specifically for alpha in [1,2), validated by a small simulation study.

Contribution

It presents a novel exact simulation technique for infinite variation tempered stable distributions, filling a gap in computational methods.

Findings

The method is exact and computationally tractable.

Simulation results demonstrate the approach's effectiveness.

Applicable to distributions with alpha in [1,2).

Abstract

We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to $\alpha\in[1,2)$. A small simulation study shows that the approach works well.