On the simulation of general multivariate gamma distributions using Dickman approximations
We derive a Dickman approximation for the small jumps of a large class of multivariate Lévy 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.
Authors
- Michael Grabchak (ORCID: https://orcid.org/0000-0003-2547-0167)
- Xingnan Zhang
Institutions
- University of North Carolina at Charlotte (US)
Publication Details
- Journal
- Computational Statistics
- Published
- 2026-03-28
- DOI
- https://doi.org/10.1007/s00180-026-01725-7
- Primary Topic
- Financial Risk and Volatility Modeling
- Type
- article
- Field-Weighted Citation Impact
- 0.00