A bivariate Lévy process with negative binomial and gamma marginals
DOI10.1016/J.JMVA.2008.02.029zbMATH Open1144.60310OpenAlexW2085396093MaRDI QIDQ935337FDOQ935337
Authors: Tomasz J. Kozubowski, Anna K. Panorska, Krzysztof Podgórski 
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
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maximum likelihood estimationinfinite divisibilitystabilitygamma processself-similaritysubordinationnegative binomial processrandom summationgamma Poisson processoperational timerandom time transformationdiscrete Lévy process
Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Self-similar stochastic processes (60G18)
Cites Work
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- Fractional Laplace motion
- A mixed bivariate distribution with exponential and geometric marginals
- On simulation from infinitely divisible distributions
- Invariance properties of the negative binomial Levy process and stochastic self-similarity
Cited In (13)
- Bivariate gamma-geometric law and its induced Lévy process
- A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns
- The joint distribution of the sum and maximum of dependent Pareto risks
- Geometric skew normal distribution
- The joint distribution of the sum and the maximum of IID exponential random variables
- A bivariate infinitely divisible distribution with exponential and Mittag-Leffler marginals
- A new multivariate model involving geometric sums and maxima of exponentials
- A new trivariate model for stochastic episodes
- A general stochastic model for bivariate episodes driven by a gamma sequence
- A generalized linear model for multivariate events
- On a general class of discrete bivariate distributions
- Compound zero-truncated Poisson normal distribution and its applications
- Distributional properties of the negative binomial Lévy process
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