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SIAMSC
2010

Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations

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Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations
Infinitely divisible random vector without Gaussian component admits representations of shot noise series. Due to possible slow convergence of the series, they have not been investigated as a device for Monte Carlo simulation. In this paper, we investigate the structure of shot noise series representations from a simulation point of view and discuss the effectiveness of quasiMonte Carlo methods applied to series representations. The structure of series representations in nature tends to decrease their effective dimension and thus increase the efficiency of quasiMonte Carlo methods, thanks to the greater uniformity of low discrepancy sequence in the lower dimension. We illustrate the effectiveness of our approach through numerical results of moment and tail probability estimations for stable and gamma random variables.
Junichi Imai, Reiichiro Kawai
Added 21 May 2011
Updated 21 May 2011
Type Journal
Year 2010
Where SIAMSC
Authors Junichi Imai, Reiichiro Kawai
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