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

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 quasiMonte 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 quasiMonte 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.

• Type: Journal
• Year: 2010
• Where: SIAMSC
• Authors: Junichi Imai, Reiichiro Kawai
• Keywords: Noise Series, Quasimonte Carlo, Series Representations, SIAMSC 2010