A bivariate Lévy process with negative binomial and gamma marginals

DOI10.1016/j.jmva.2008.02.029zbMath1144.60310MaRDI QIDQ935337

Krzysztof Podgórski, Anna K. Panorska, Tomasz J. Kozubowski

Publication date: 6 August 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.02.029

zbMATH Keywords

stability; subordination; maximum likelihood estimation; self-similarity; infinite divisibility; gamma process; negative binomial process; random summation; discrete Lévy process; gamma Poisson process; operational time; random time transformation

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

62H12: Estimation in multivariate analysis

60F05: Central limit and other weak theorems

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G50: Sums of independent random variables; random walks

60E05: Probability distributions: general theory

60G18: Self-similar stochastic processes

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Cites Work

• A mixed bivariate distribution with exponential and geometric marginals
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