Journal of Applied Probability

An inverse gamma activity time process with noninteger parameters and a self-similar limit

Richard Finlay, Eugene Seneta, and Dingcheng Wang

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Abstract

We construct a process with inverse gamma increments and an asymptotically self-similar limit. This construction supports the use of long-range-dependent t subordinator models for actual financial data as advocated in Heyde and Leonenko (2005), in that it allows for noninteger-valued model parameters, as is found empirically in model estimation from data.

Article information

Source
J. Appl. Probab., Volume 49, Number 2 (2012), 441-450.

Dates
First available in Project Euclid: 16 June 2012

Permanent link to this document
https://projecteuclid.org/euclid.jap/1339878797

Digital Object Identifier
doi:10.1239/jap/1339878797

Mathematical Reviews number (MathSciNet)
MR2977806

Zentralblatt MATH identifier
1255.60056

Subjects
Primary: 60G10: Stationary processes
Secondary: 60G18: Self-similar processes 62P20: Applications to economics [See also 91Bxx]

Keywords
Inverse gamma process t-distribution subordinator model long-range dependence self similarity

Citation

Finlay, Richard; Seneta, Eugene; Wang, Dingcheng. An inverse gamma activity time process with noninteger parameters and a self-similar limit. J. Appl. Probab. 49 (2012), no. 2, 441--450. doi:10.1239/jap/1339878797. https://projecteuclid.org/euclid.jap/1339878797


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References

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