On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations
Michael Grabchak, Xingnan Zhang
Published: 2024/3/30
Abstract
We derive a Dickman approximation for the small jumps of a large class of multivariate L\'evy 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.