On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations

Michael Grabchak; Xingnan Zhang

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arXiv · 2404.00239

On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations

Michael Grabchak·Xingnan Zhang

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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.

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Michael Grabchak, Xingnan Zhang. 2024-03-30. On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations. https://arxiv.org/abs/2404.00239

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