How to simulate an infinite divisible random variable
Arash Amini, EPFL STI LIB

Seminar • 15 October 2012 • BM 4.233

Abstract
A generic method for simulating arbitrary random variables is to apply the well-known CDF technique. However, it requires a closed form expression or at least a good numerical approximation of the CDF. For infinite divisible laws, we are usually provided with a closed form expression of the characteristic form. Therefore, we need to numerically implement the inverse Fourier transform followed by an integration in order to apply the CDF technique. Due to the involved roundings, this approach may even change the tail decay of the random variable. In this talk, I will present alternative methods which are better suited for infinite divisible distributions. In particular, I will explain rejection and sub-ordinate methods.