Rosiński measures for tempered stable and related Ornstein-Uhlenbeck processes

• Autorzy: Terdik G. , Woyczyński W. A.
• Języki publikacji: EN

Abstrakty

EN

Several concrete parametric classes of tempered stable distributions are discussed in terms of explicit calculations of their Rosiński measures. The hope is that they will provide a family of concrete models useful in applied areas and for which the fitting can be done by parametric methods. Related Ornstein-Uhlenbeck processes are analyzed. The emphasis throughout the paper is on obtaining exact analytic formulas.

Słowa kluczowe

EN

tempered stable distributions; Ornstein-Uhlenbeck processes; Lévy processes; truncated Lévy flights

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2006
• Tom: Vol. 26, Fasc. 2
• Strony: 213--243
• Opis fizyczny: Bibliogr. 32 poz.

Twórcy

autor

Terdik G.

• Department of Inf. Techn., University of Debrecen, 4010 Debrecen, Hungary

autor

Woyczyński W. A.

• Department of Statistics and Center for Stochastic and Chaotic Processes in Science and Technology, Case Western Reserve University, Cleveland, OH 44106, U.S.A.

Bibliografia

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Uwagi

Dedicated to the memory of Kazimierz Urbanik and his pioneering work on operator-decomposable distributions.