Tempered positive Linnik processes and their representations

DOI10.1214/22-EJS2090zbMATH Open1504.60024arXiv2105.00988OpenAlexW3158919550MaRDI QIDQ2106799FDOQ2106799

Authors: Lorenzo Torricelli, Andrea Cerioli, Lucio Barabesi 

Publication date: 19 December 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: This paper analyzes various classes of processes associated with the tempered positive Linnik (TPL) distribution. We provide several subordinated representations of TPL L'evy processes and in particular establish a stochastic self-similarity property with respect to negative binomial subordination. In finite activity regimes we show that the explicit compound Poisson representations gives rise to innovations following Mittag-Leffler type laws which are apparently new. We characterize two time-inhomogeneous TPL processes, namely the Ornstein-Uhlenbeck (OU) L'evy-driven processes with stationary distribution and the additive process determined by a TPL law. We finally illustrate how the properties studied come together in a multivariate TPL L'evy framework based on a novel negative binomial mixing methodology. Some potential applications are outlined in the contexts of statistical anti-fraud and financial modelling.

Full work available at URL: https://arxiv.org/abs/2105.00988

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zbMATH Keywords

Ornstein-Uhlenbeck processesadditive processesMittag-Leffler distributionsstochastic self-similaritytempered positive Linnik processessubordinated Lévy processesmultivariate Lévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Self-similar stochastic processes (60G18)

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