Linnik distributions and processes

DOI10.2307/3214842zbMath0777.62086OpenAlexW2313543494MaRDI QIDQ5288011

Barry C. Arnold, Dale N. Anderson

Publication date: 19 December 1993

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214842

zbMATH Keywords

time seriescharacteristic functionstable processesstock pricesgeometric compoundingdiscrete-time processesexponential processesLinnik distributionsstationary Linnik distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Characterization and structure theory of statistical distributions (62E10) Inference from stochastic processes (62M99)

Related Items (25)

Generalized Laplacian Distributions and Autoregressive Processes ⋮ An autoregressive process with geometric \(\alpha\)-Laplace marginals ⋮ Applications of Marshall–Olkin Fréchet Distribution ⋮ Linnik Lévy process and some extensions ⋮ A mixture representation of the Linnik distribution ⋮ Linnik processes ⋮ Analytic and asymptotic properties of generalized Linnik probability densities ⋮ A note on the Linnik distributions ⋮ An estimation procedure for the Linnik distribution ⋮ A note on the Cauchy-type mixture distributions ⋮ Random self-decomposability and autoregressive processes ⋮ Analytic and asymptotic properties of multivariate generalized Linnik's probability densities ⋮ Generalized normal-Laplace AR process ⋮ Marshall-Olkin Esscher transformed Laplace distribution and processes ⋮ Estimation and Simulation of the Riesz-Bessel Distribution ⋮ Analytic and asymptotic properties of non-symmetric Linnik's probability densities ⋮ A time-series model using asymmetric Laplace distribution ⋮ Autoregressive processes with normal-Laplace marginals ⋮ Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals ⋮ Time series models with asymmetric Laplace innovations ⋮ Marshall-Olkin Generalized Asymmetric Laplace distributions and processes ⋮ Weak limits for multivariate random sums ⋮ Computer simulation of geometric stable distributions ⋮ Fractional moment estimation of Linnik and Mittag-Leffler parameters ⋮ Confined random motion with Laplace and Linnik statistics

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