منابع مشابه
Simulation of Infinitely Divisible Random Fields
Abstract. Two methods to approximate infinitely divisible random fields are presented. The methods are based on approximating the kernel function in the spectral representation of such fields, leading to numerical integration of the respective integrals. Error bounds for the approximation error are derived and the approximations are used to simulate certain classes of infinitely divisible rando...
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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 method...
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For various classes of Lipschitz functions we provide dimension free concentration inequalities for infinitely divisible random vectors with independent components and finite exponential moments. The purpose of this note is to further visit the concentration phenomenon for infinitely divisible vectors with independent components in an attempt to obtain dimension free concentration. Let X ∼ ID(γ...
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CHRISTIAN HOUDRÉ , PHILIPPE MARCHAL and PATRICIA REYNAUD-BOURET School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332, USA. E-mail: [email protected] CNRS and DMA, Ecole Normale Supérieure, 45 rue d’Ulm 75230 Paris Cedex 05, France. E-mail: [email protected] CNRS and DMA, Ecole Normale Supérieure, 45 rue d’Ulm 75230 Paris Cedex 05, France. E-mail: patricia.reynaud...
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1957
ISSN: 0003-4851
DOI: 10.1214/aoms/1177706974