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On simulation from infinitely divisible distributions

Published online by Cambridge University Press:  01 July 2016

Lennart Bondesson
Lennart Bondesson*
Affiliation:
University of Umeå
*
∗Postal address: Institute of Mathematical Statistics, University of Umeå, S-901 87 Umeå, Sweden.
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Abstract

A general method based on a limit theorem for generation of random numbers from infinitely divisible distributions with essentially given Lévy measure is studied. Some classes of infinitely divisible distributions that appear in a natural way in this context are paid particular attention.

Keywords

SHOT-NOISE DISTRIBUTIONSELF-DECOMPOSABILITYGENERALIZED GAMMA CONVOLUTIONSTABLE DISTRIBUTIONNORMAL APPROXIMATION

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 14 , Issue 4 , December 1982 , pp. 855 - 869
Copyright
Copyright © Applied Probability Trust 1982 

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