A density function connected with a non-negative self-decomposable random variable

DOI10.1080/00949650310001643260MaRDI QIDQ4826346zbMATH OpenOpenAlexFDO

Authors Ramsés H. Mena, Stephen G. Walker

Publication date 11 November 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650310001643260

zbMATH Keywords

infinite divisibilityOrnstein-Uhlenbeck type processshot noise

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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Cites work

• A Representation of Independent Increment Processes without Gaussian Components
• scientific article; zbMATH DE number 1639863 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On Bayesian consistency
• On simulation from infinitely divisible distributions
• Subordination and self-decomposability
• Unimodality of infinitely divisible distribution functions of class L

Cited in

(1)

• Stationary Autoregressive Models via a Bayesian Nonparametric Approach

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Uses Software

• Ox

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