Discrete Tempered Stable Distributions

Michael Grabchak ()
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Michael Grabchak: University of North Carolina Charlotte

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 3, 1877-1890

Abstract: Abstract Discrete tempered stable distributions are a large and flexible class of models for heavy tailed and overdispersed count data. In this paper we derive various properties of these distributions and develop an exact simulation method based on rejection sampling and a compound Poisson representation. We extend this method to exact simulation of the corresponding bilateral distributions and Lévy processes.

Keywords: Discrete tempered stable; Discrete stable; Simulation; Overdispersion; 60E07; 62E15; 65C10 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-021-09904-3

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