Multivariate normal -stable exponential families

DOI10.1007/S00009-015-0562-YMaRDI QIDQ327378zbMATH OpenOpenAlexFDO

Authors Mahdi Louati, Afif Masmoudi, 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 divisiblenatural exponential familiesdrifted stable distributionsnormal \(\alpha\)-stable distributionsvariance function

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(10)

• The normal tempered stable regression model
• Characterization and classification of multiple stable Tweedie models
• A complete characterization of multivariate normal stable Tweedie models through a Monge-Ampère property
• On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
• Stability for multivariate exponential families
• Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator
• Generalized variance functions for infinitely divisible mixture distributions
• Multivariate stable exponential families and Tweedie scale
• Characterization of multivariate stable processes
• Approximation of the quasi-deviance function for the time-changed Lévy processes by the first-exit time of the inverse Gaussian subordinator

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