The Mathematical Institute, University of Oxford, Eprints Archive

New methods for simulating the Student T-distribution - Direct use of the inverse cumulative distribution function

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)

[img]
Preview
PDF
350Kb

Abstract

We explore the Student T-Distribution and present some new techniques for simulation. In particular, an explicit and accurate approximation for the inverse, $F_n^{-1}$ of the CDF, $F_n$, 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

Repository Staff Only: item control page