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June 2012 An inverse gamma activity time process with noninteger parameters and a self-similar limit
Richard Finlay, Eugene Seneta, Dingcheng Wang
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J. Appl. Probab. 49(2): 441-450 (June 2012). DOI: 10.1239/jap/1339878797

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.

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Richard Finlay. Eugene Seneta. Dingcheng Wang. "An inverse gamma activity time process with noninteger parameters and a self-similar limit." J. Appl. Probab. 49 (2) 441 - 450, June 2012. https://doi.org/10.1239/jap/1339878797

Information

Published: June 2012
First available in Project Euclid: 16 June 2012

zbMATH: 1255.60056
MathSciNet: MR2977806
Digital Object Identifier: 10.1239/jap/1339878797

Subjects:
Primary: 60G10
Secondary: 60G18 , 62P20

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

Rights: Copyright © 2012 Applied Probability Trust

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Vol.49 • No. 2 • June 2012
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