Kendall random walks

DOI10.48550/ARXIV.1412.0220zbMATH Open1343.60052arXiv1412.0220MaRDI QIDQ149272FDOQ149272

Authors: Barbara H. Jasiulis-Gołdyn, B. H. Jasiulis-Gołdyn 

Publication date: 30 November 2014

Abstract: The paper deals with a new class of random walks strictly connected with the Pareto distribution. We consider stochastic processes in the sense of generalized convolution or weak generalized convolution following the idea given in [1]. The processes are Markov processes in the usual sense. Their structure is similar to perpetuity or autoregressive model. We prove theorem, which describes the magnitude of the fluctuations of random walks generated by generalized convolutions. We give a construction and basic properties of random walks with respect to the Kendall convolution. We show that they are not classical L'evy processes. The paper proposes a new technique to cumulate the Pareto-type distributions using a modification of the Williamson transform and contains many new properties of weakly stable probability measure connected with the Kendall convolution. It seems that the Kendall convolution produces a new classes of heavy tailed distributions of Pareto-type.

Full work available at URL: https://arxiv.org/abs/1412.0220

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zbMATH Keywords

random walkPareto distributionMarkov processgeneralized convolutionKendall convolutionweakly stable distributionWilliamson transform

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Convolution as an integral transform (44A35)

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