On the Hougaard subordinated Gaussian Lévy processes
type: Item
instance of: scholarly article
title: On the Hougaard subordinated Gaussian Lévy processes
zbMATH Open document ID: 1225.60078
author: Bronius Grigelionis
published in: Statistics \& Probability Letters
publication date: 2011-07-26T00:00:00Z
review text: The author characterizes the class of multivariate Gaussian Lévy processes which are subordinated via Hougaard processes, i.e., Lévy processes whose one-dimensional marginals are Tweedie distributions. Furthermore, he proves necessary and sufficient conditions for the self-decomposability of the subordinated processes and describes related Ornstein-Uhlenbeck type processes.
reviewed by: Alexander Schnurr
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 5932051
zbMATH Keywords: Gaussian Lévy process
zbMATH Keywords: Hougaard process
zbMATH Keywords: Ornstein-Uhlenbeck type process
zbMATH Keywords: self-decomposability
zbMATH Keywords: subordination
zbMATH Keywords: power-variance distribution
zbMATH Keywords: Bessel function
MaRDI profile type: Publication
full work available at URL: j.spl.2011.01.020
OpenAlex ID: W2042137627
cites work: On subordinated multivariate Gaussian Lévy processes
cites work: Thorin classes of Lévy processes and their transforms
cites work: Q4226811
cites work: Q4351558
cites work: Q5409097
cites work: On Infinitely Divisible Exponential Dispersion Model Related to Poisson-Exponential Distribution
cites work: Properties of certain Lévy and geometric Lévy processes
cites work: Q4856171
DOI: 10.1016/J.SPL.2011.01.020
description: scientific article; zbMATH DE number 5932051