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arXiv · 2405.16614

Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications

A. H. Nzokem
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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.

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A. H. Nzokem. 2024-05-26. Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications. https://arxiv.org/abs/2405.16614

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