paper

On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations

arXiv:2404.00239

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.

On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations · wovepaper