On the simulation of general multivariate gamma distributions using Dickman approximations

Computational Statistics 2026 Open access

Read full text
Authors: Michael Grabchak, Xingnan Zhang
DOI: 10.1007/s00180-026-01725-7
Cited by: 1
References: 29

Abstract

Abstract 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.

Fields of Study & Subjects

Financial Risk and Volatility Modeling Probability and Risk Models Statistical Distribution Estimation and Applications

Publication details

Journal / source
Computational Statistics
Publisher
Springer Science and Business Media LLC
Volume
41
Issue
3
Publication date
28 March 2026
Language
EN