HIGHLIGHTS
- who: Simon Godsill from the SigProC Lab, Department of Engineering, University of Cambridge, Cambridge, UK have published the research work: Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral, in the Journal: (JOURNAL)
- what: In this paper novel simulation are provided for the generalised inverse Gaussian (GIG) Lévy process. The resulting augmented bivariate process is still intractable and so the authors propose a novel thinning method based on upper bounds on the intractable integrand. Rosiński presents a generalised shot-noise representation of non-Gaussian Lévy processes, and . . .
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