An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit

DOI10.1239/jap/1339878797zbMath1255.60056OpenAlexW2061042647MaRDI QIDQ2897153

Richard Finlay, Eugene Seneta, Ding Cheng Wang

Publication date: 8 July 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878797

zbMATH Keywords

self similaritylong-range dependence\(t\)-distributionsubordinator modelinverse gamma processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Related Items (4)

Vector Stochastic Processes with Pólya‐Type Correlation Structure ⋮ Student-like models for risky asset with dependence ⋮ Isotropic random fields with infinitely divisible marginal distributions ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

Cites Work

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• Power-law correlations, related models for long-range dependence and their simulation
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Stationary-increment Student and variance-gamma processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Autocorrelation Functions
• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
• The Canonical Correlation Coefficients of Bivariate Gamma Distributions
• Student processes

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