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On the simulation of general multivariate gamma distributions using Dickman approximations
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DOI：10.1007/s00180-026-01725-7.png)
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Abstract
En 中文
We derive a Dickman approximation for the small jumps of a large class of multivariate Levy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A small-scale simulation study suggests that this method works very well.
Keywords:
Multivariate gamma distributions
Dickman distribution
Small jumps of Levy processes
Simulation
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C
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1.4
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