Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral

In this paper novel simulation methods are provided for the generalised inverse Gaussian (GIG) Lévy process. Such processes are intractable for simulation except in certain special edge cases, since the Lévy density associated with the GIG process is expressed as an integral involving certain Bessel...

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Veröffentlicht in:	Statistics and computing 2022-02, Vol.32 (1), Article 13
Hauptverfasser:	Godsill, Simon, Kındap, Yaman
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Artificial Intelligence Bessel functions Bivariate analysis Brownian motion Computer Science Gaussian process Infinite series Probability and Statistics in Computer Science Process parameters Random variables Shot noise Simulation Statistical Theory and Methods Statistics and Computing/Statistics Programs Stochastic processes Upper bounds
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