Shaw, William T. (2005) New methods for simulating the Student T-distribution - Direct use of the inverse cumulative distribution function. Submitted to Journal of Computational Finance. (Submitted)
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Abstract
We explore the Student T-Distribution and present some new techniques for simulation. In particular, an explicit and accurate approximation for the inverse, of the CDF,
, is presented, as well as some simple exact and iterative techniques for defining this function. The methods presented are particularly well adapted to be used with copula and quasi-Monte-Carlo techniques.
| Item Type: | Other |
|---|---|
| Uncontrolled Keywords: | Student, Distribution, T-distribution, Simulation, Monte Carlo, Inverse Cumulative Distribution Function, Inverse CDF. |
| Subjects: | O - Z > Statistics A - C > Approximations and expansions O - Z > Operations research, mathematical programming D - G > Game theory, mathematical finance, economics, social and behavioral sciences A - C > Computer science O - Z > Probability theory and stochastic processes |
| Research Groups: | Mathematical and Computational Finance Group |
| ID Code: | 184 |
| Deposited By: | William Shaw |
| Deposited On: | 09 Aug 2005 |
| Last Modified: | 20 Jul 2009 14:19 |
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