On a new Class of Tempered Stable Distributions: Moments and Regular Variation

DOI10.1239/jap/1354716655zbMath1269.60018arXiv1109.1028MaRDI QIDQ4903040

Michael Grabchak

Publication date: 19 January 2013

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

Full work available at URL: https://arxiv.org/abs/1109.1028

zbMATH Keywords

regular variation; domain of attraction; tail behaviour; tempered stable distribution; infinite divisible law; Rosiński measure

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

Related Items

Domains of attraction for positive and discrete tempered stable distributions, On the simulation of general tempered stable Ornstein–Uhlenbeck processes, Limit Theorems and Phase Transitions for Two Models of Summation of Independent Identically Distributed Random Variables with a Parameter, Simulation of Tempered Stable Lévy Bridges and Its Applications, An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case, Discussion of `On simulation and properties of the stable law' by Devroye and James, On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes, Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters, Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?, On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes, Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes, Modelling tail risk with tempered stable distributions: an overview, Rejection sampling for tempered Lévy processes, Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes, Estimation and simulation for multivariate tempered stable distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Moment properties of multivariate infinitely divisible laws and criteria for multivariate self-decomposability
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Tempering stable processes
• A note on new classes of infinitely divisible distributions on \(\mathbb{R}^{d}\)
• Modelling heterogeneity in survival analysis by the compound Poisson distribution
• A characterization of multivariate regular variation.
• A subclass of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Tempered Infinitely Divisible Distributions and Processes
• Do financial returns have finite or infinite variance? A paradox and an explanation
• Cumulants of infinitely divisible distributions
• Generalized tempered stable processes
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• Chance and Stability
• On regular variation for infinitely divisible random vectors and additive processes