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
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
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
- Invariance properties of the negative binomial Levy process and stochastic self-similarity
- On simulation from infinitely divisible distributions
- Financial Modelling with Jump Processes
- Fractional Laplace motion
- A Representation of Independent Increment Processes without Gaussian Components
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