Work

On the simulation of general multivariate gamma distributions using Dickman approximations

Year: 2026

Type: article

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.

Source: Computational Statistics

DOI: 10.1007/s00180-026-01725-7

Authors: Michael Grabchak, Xingnan Zhang

Institution: University of North Carolina at Charlotte

Language: English

Topic: Statistical Distribution Estimation and Applications

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,190

Funder: University of North Carolina at Charlotte