Results 1 to 10 of about 3,017,945 (260)
Random self-decomposability and autoregressive processes [PDF]
Statistics and Probability Letters, 2010 We introduce the notion of random self-decomposability and discuss its relation to the concepts of self-decomposability and geometric infinite divisibility. We present its connection with time series autoregressive schemes with regression coefficient that randomly turns on and off.
Tomasz J Kozubowski
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Discrete Analogues of Self-Decomposability and Stability [PDF]
Annals of Probability, 1979 Analogues are proposed for the concepts of self-decomposability and stability for distributions on the nonnegative integers. It turns out that these "discrete self-decomposable" and "discrete stable" distributions have properties that are quite similar to those of their continuous counterparts.
F W Steutel
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Free Self-decomposability and Unimodality of the Fuss–Catalan Distributions [PDF]
Journal of Statistical Physics, 2020 16 pages, 2 ...
Wojciech Młotkowski +2 more
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Correlating Lévy processes with self-decomposability: applications to energy markets [PDF]
Decisions in Economics and Finance, 2021 AbstractBased on the concept of self-decomposability, we extend some recent multidimensional Lévy models built using multivariate subordination. Our aim is to construct multivariate Lévy processes that can model the propagation of the systematic risk in dependent markets with some stochastic delay instead of affecting all the markets at the same time ...
Matteo Gardini +2 more
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On the self-decomposability of the Fréchet distribution
Indagationes Mathematicae, 2013 Let $\{Γ_t, \, t\ge 0\}$ be the Gamma subordinator. Using a moment identification due to Bertoin-Yor (2002), we observe that for every $t > 0$ and $α\in (0,1)$ the random variable $Γ_t^{-α}$ is distributed as the exponential functional of some spectrally negative Lévy process.
Bosch, Pierre, Simon, Thomas
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SUBORDINATION, SELF-DECOMPOSABILITY AND SEMI-STABILITY [PDF]
Communications of the Korean Mathematical Society, 2006 Two main results are presented in relation to subor- dination, self-decomposability and semi-stability. One of the re- sult is that strict semi-stability of subordinand process by self- decomposable subordinator gives semi-selfdecomposability of the subordinated process.
Gyeong-Suk Choi +2 more
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On the Self-Decomposability of the Half-Cauchy Distribution
Journal of Mathematical Analysis and Applications, 1998 The half-Cauchy distribution function \(F(x)\) is determined as follows: \(F(x)=0\) for ...
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Mathematics, 2023 The paper comprehensively studies the natural exponential family and its associated exponential dispersion model generated by the Landau distribution. These families exhibit probabilistic and statistical properties and are suitable for modeling skewed ...
Shaul K. Bar-Lev
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Autoregressive Sequences Via Lévy Processes
Revstat Statistical Journal, 2022 We use L´evy processes to develop a family of first-order autoregressive sequences of random variables with values in R+, called C-AR(1) processes. We obtain various distributional and regression properties for these processes and we establish a limit ...
Nadjib Bouzar
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Mutant Number Laws and Infinite Divisibility
Axioms, 2022 Concepts of infinitely divisible distributions are reviewed and applied to mutant number distributions derived from the Lea-Coulson and other models which describe the Luria-Delbrück fluctuation test.
Anthony G. Pakes
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