Shaw, William T. (2005) New methods for simulating the Student Tdistribution  Direct use of the inverse cumulative distribution function. Submitted to Journal of Computational Finance. (Submitted)

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Abstract
We explore the Student TDistribution 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 quasiMonteCarlo techniques.
Item Type:  Other 

Uncontrolled Keywords:  Student, Distribution, Tdistribution, 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:  29 May 2015 18:17 
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