Characterization of multivariate stable processes

DOI10.1007/S10986-017-9343-6MaRDI QIDQ2627898zbMATH OpenOpenAlexFDO

Authors Mahdi Louati, Afif Masmoudi, Farouk Mselmi

Publication date 1 June 2017

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-017-9343-6

zbMATH Keywords

stable distributionLaplace distributioninfinitely divisible processescumulant functionmultivariate stable processesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

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• Exponential families of stochastic processes
• Exponential stopping and drifted stable processes
• Generalized Gamma measures and shot-noise Cox processes
• Multivariate normal \(\alpha\)-stable exponential families
• Multivariate stable exponential families and Tweedie scale
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Survival models for heterogeneous populations derived from stable distributions

Cited in

(15)

• Multivariate exponential power Lévy processes and random fields
• The normal tempered stable regression model
• Deep factorisation of the stable process. II: Potentials and applications
• Characterisations of classes of multivalued processes using Riesz approximations
• Characterization and identifiability for stochastic processes
• Multivariate Jacobi process with application to smooth transitions
• Approximating Multivariate Tempered Stable Processes
• Characterization of the inverse stable subordinator
• Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator
• Generalized variance functions for infinitely divisible mixture distributions
• scientific article; zbMATH DE number 222640 (Why is no real title available?)
• Stable processes, mixing, and distributional properties. II.
• Exponential stopping and drifted stable processes
• Approximation of the quasi-deviance function for the time-changed Lévy processes by the first-exit time of the inverse Gaussian subordinator
• Multivariate max-stable processes and homogeneous functionals

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