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

By Junichi Imai and Reiichiro Kawai

Abstract

An 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 quasi-Monte 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 quasi-Monte 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

Topics: quasi-Monte Carlo method, effective dimension, gamma process, moment estimation, tail probability estimation, Poisson process, shot noise
Publisher: Society for Industrial and Applied Mathematics (SIAM)
Year: 2010
DOI identifier: 10.1137/090752365
OAI identifier: oai:lra.le.ac.uk:2381/8366
Journal:

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