Multivariate normal \(\alpha\)-stable exponential families

DOI10.1007/s00009-015-0562-yzbMath1375.60045OpenAlexW1972142360MaRDI QIDQ327378

Afif Masmoudi, Mahdi Louati, Farouk Mselmi

Publication date: 19 October 2016

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-015-0562-y

zbMATH Keywords

infinitely divisiblevariance functionnatural exponential familiesdrifted stable distributionsnormal \(\alpha\)-stable distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Related Items

Characterization of multivariate stable processes, The normal tempered stable regression model, Characterization and classification of multiple stable Tweedie models, Generalized variance functions for infinitely divisible mixture distributions, Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the Monge-Ampère equation for characterizing gamma-Gaussian model
• Natural real exponential families with cubic variance functions
• A characterization of Poisson-Gaussian families by generalized variance
• Multivariate stable exponential families and Tweedie scale
• Probability measures, Lévy measures and analyticity in time
• Natural exponential families with quadratic variance functions
• Statistical methods in finance
• Exponential stopping and drifted stable processes
• Generalized variance and exponential families
• Characterization of the cubic exponential families by orthogonality of polynomials.
• Mixture and reciprocity of exponential models
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• Inversion formula for infinitely divisible distributions
• Survival models for heterogeneous populations derived from stable distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling