On the relationship between the generalized Student t-distribution and the variance gamma distribution in statistical analysis of random-size samples

DOI10.1134/S1064562412040424MaRDI QIDQ1761082zbMATH OpenFDO

Authors V. Yu. Korolev

Publication date 15 November 2012

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1064562412040424

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 5947643 (Why is no real title available?)
• scientific article; zbMATH DE number 5947644 (Why is no real title available?)
• scientific article; zbMATH DE number 3090543 (Why is no real title available?)
• On an Application of the Student Distribution in the Theory of Probability and Mathematical Statistics
• The Variance Gamma Process and Option Pricing

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(3)

• Tailweight, quantiles and kurtosis: A study of competing distributions
• Additivity of variance gamma distribution and its application in financial analysis
• Bounds for convergence rate in laws of large numbers for mixed Poisson random sums

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