Levy process simulation by stochastic step functions

We study a Monte Carlo algorithm for simulation of probability distributions based on stochastic step functions, and compare to the traditional Metropolis/Hastings method. Unlike the latter, the step function algorithm can produce an uncorrelated Markov chain. We apply this method to the simulation...

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Veröffentlicht in:	arXiv.org 2011-10
Hauptverfasser:	Torquil Macdonald Sørensen, Benth, Fred Espen
Format:	Artikel
Sprache:	eng
Schlagworte:	Adaptive algorithms Computer simulation Correlation analysis Gaussian process Markov analysis Markov chains Mathematics - Probability Physics - Computational Physics Probability theory Step functions Subdivisions
Online-Zugang:	Volltext
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