A bivariate Lévy process with negative binomial and gamma marginals

DOI10.1016/J.JMVA.2008.02.029MaRDI QIDQ935337zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum likelihood estimationinfinite divisibilitystabilitygamma processself-similaritysubordinationnegative binomial processrandom summationgamma Poisson processoperational timerandom time transformationdiscrete Lévy process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1639863 (Why is no real title available?)
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• A Representation of Independent Increment Processes without Gaussian Components
• A mixed bivariate distribution with exponential and geometric marginals
• Financial Modelling with Jump Processes
• Fractional Laplace motion
• Invariance properties of the negative binomial Levy process and stochastic self-similarity
• On simulation from infinitely divisible distributions

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(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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