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

DOI10.1239/JAP/1339878797zbMATH Open1255.60056OpenAlexW2061042647MaRDI QIDQ2897153FDOQ2897153

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

Recommendations

• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
• A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
• Fractional Brownian motion time-changed by gamma and inverse gamma process
• Stationary-increment Student and variance-gamma processes
• Fractionally integrated inverse stable subordinators

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)

Cites Work

• Weak convergence to fractional brownian motion and to the rosenblatt process
• Student processes
• Title not available (Why is that?)
• The Canonical Correlation Coefficients of Bivariate Gamma Distributions
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Autocorrelation functions
• Power-law correlations, related models for long-range dependence and their simulation
• Stationary-increment Student and variance-gamma processes
• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit

Cited In (6)

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

This page was built for publication: An inverse gamma activity time process with noninteger parameters and a self-similar limit

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2897153)