Tempered stable processes are widely used in various fields of application as alternatives with finite second moment and long-range Gaussian behaviors to stable processes. Infinite shot noise series representation is the only exact simulation method for the tempered stable process and has recently attracted attention for simulation use with ever improved computational speed. In this paper, we derive series representations for the tempered stable laws of increasing practical interest through the thinning, rejection, and inverse Lévy measure methods. We make a rigorous comparison among those representations, including the existing one due to Imai and Kawai  and Rosiski (2007) , in terms of the tail mass of Lévy measures which can be simulated under a common finite truncation scheme. The tail mass are derived in closed form for some representations thanks to various structural properties of the tempered stable laws. We prove that the representation via the inverse Lévy measure method achieves a much faster convergence in truncation to the infinite sum than all the other representations. Numerical results are presented to support our theoretical analysis.
|Physica A: Statistical Mechanics and its Applications
|Published - 2011 11月 1
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