An inverse gamma activity time process with noninteger parameters and a self-similar limit

DOI10.1239/JAP/1339878797MaRDI QIDQ2897153zbMATH OpenOpenAlexFDO

Authors Richard Finlay, Eugene Seneta, Dingcheng Wang

Publication date 8 July 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1339878797

zbMATH Keywords

long-range dependenceself similarity\(t\)-distributionsubordinator modelinverse gamma processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 1284881 (Why is no real title available?)
• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
• Autocorrelation functions
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Power-law correlations, related models for long-range dependence and their simulation
• Stationary-increment Student and variance-gamma processes
• Student processes
• The Canonical Correlation Coefficients of Bivariate Gamma Distributions
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(6)

• Vector Stochastic Processes with Pólya‐Type Correlation Structure
• Risky asset models with tempered stable fractal activity time
• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
• Isotropic random fields with infinitely divisible marginal distributions
• A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
• Student-like models for risky asset with dependence

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