On a new class of tempered stable distributions: moments and regular variation
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Publication:4903040
Abstract: We extend the class of tempered stable distributions first introduced in Rosinski 2007. Our new class allows for more structure and more variety of tail behaviors. We discuss various subclasses and the relation between them. To characterize the possible tails we give detailed results about finiteness of various moments. We also give necessary and sufficient conditions for the tails to be regularly varying. This last part allows us to characterize the domain of attraction to which a particular tempered stable distribution belongs.
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Cited in
(23)- Domains of attraction for positive and discrete tempered stable distributions
- Rejection sampling for tempered Lévy processes
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
- Estimation and simulation for multivariate tempered stable distributions
- pTAS distributions with application to risk management
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- Tempered infinitely divisible distributions and processes
- Uniform exponential dichotomy of stochastic cocycles
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- Tempered stable distributions. Stochastic models for multiscale processes
- A new family of tempered distributions
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
- Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes
- Modelling tail risk with tempered stable distributions: an overview
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
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