Simulations of gamma distributions and multifactor gamma distributions - Laboratoire de Mathématiques et de leurs Applications de Pau - IPRA
Pré-Publication, Document De Travail Année : 2024

Simulations of gamma distributions and multifactor gamma distributions

Résumé

This article provides a general expression for infinitely divisible multivariate gamma distributions defined by their Laplace transforms, as well as the conditional Laplace transform of infinitely divisible multivariate gamma distributions. We give algorithms for simulating infinitely divisible gamma distributions and infinitely divisible multifactor gamma distributions in dimension 2, 3, 4 and for all dimensions greater than 2 in the Markovian case. We give examples of simulations in dimension 2, 3, 4 and in dimension 5 in the Markovian case.
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hal-04826717 , version 1 (16-12-2024)

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  • HAL Id : hal-04826717 , version 1

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Philippe Bernardoff, Bénédicte Puig. Simulations of gamma distributions and multifactor gamma distributions. 2024. ⟨hal-04826717⟩
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