Tempered positive Linnik processes and their representations
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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.
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