On simulation from infinitely divisible distributions

Lennart Bondesson

132 citations0/0 files storedAdvances in Applied Probability

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

A general method based on a limit theorem for generation of random numbers from infinitely divisible distributions with essentially given Lévy measure is studied. Some classes of infinitely divisible distributions that appear in a natural way in this context are paid particular attention.

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1977On the infinite divisibility of the lognormal distribution

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