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stat.ME2023
Generalised Hyperbolic State-space Models for Inference in Dynamic Systems
Yaman Kındap, Simon Godsill
In this work we study linear vector stochastic differential equation (SDE) models driven by the generalised hyperbolic (GH) Lévy process for inference in continuous-time non-Gaussi…
stat.ME2023
Point process simulation of generalised hyperbolic Lévy processes
Yaman Kindap, Simon Godsill
Generalised hyperbolic (GH) processes are a class of stochastic processes that are used to model the dynamics of a wide range of complex systems that exhibit heavy-tailed behavior,…
stat.ME2021
Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
Simon Godsill, Yaman Kındap
In this paper novel simulation methods are provided for the generalised inverse Gaussian (GIG) Lévy process. Such processes are intractable for simulation except in certain special…