This paper analyzes various classes of processes associated with the tempered positive Linnik (TPL) distribution. We provide several subordinated representations of TPL Lévy processes and in particular establish a stochastic self-similarity property with respect to negative binomial subordination. In finite activity regimes we show that the explicit compound Poisson representations give raise to innovations following Mittag-Leffler type laws which are apparently new. We characterize two time-inhomogeneous TPL processes, namely the Ornstein-Uhlenbeck (OU) Lévy-driven processes with stationary distribution and the additive process determined by a TPL law. We finally illustrate how the properties studied come together in a multivariate TPL Lévy framework based on a novel negative binomial mixing methodology. Some potential applications are outlined in the contexts of statistical anti-fraud and financial modelling.
Torricelli, L., Barabesi, L., Cerioli, A. (2022). Tempered positive Linnik processes and their representations. ELECTRONIC JOURNAL OF STATISTICS, 16(2), 6313-6347 [10.1214/22-EJS2090].
Tempered positive Linnik processes and their representations
Barabesi, Lucio;Cerioli, Andrea
2022-01-01
Abstract
This paper analyzes various classes of processes associated with the tempered positive Linnik (TPL) distribution. We provide several subordinated representations of TPL Lévy processes and in particular establish a stochastic self-similarity property with respect to negative binomial subordination. In finite activity regimes we show that the explicit compound Poisson representations give raise to innovations following Mittag-Leffler type laws which are apparently new. We characterize two time-inhomogeneous TPL processes, namely the Ornstein-Uhlenbeck (OU) Lévy-driven processes with stationary distribution and the additive process determined by a TPL law. We finally illustrate how the properties studied come together in a multivariate TPL Lévy framework based on a novel negative binomial mixing methodology. Some potential applications are outlined in the contexts of statistical anti-fraud and financial modelling.File | Dimensione | Formato | |
---|---|---|---|
22-EJS2090.pdf
accesso aperto
Tipologia:
PDF editoriale
Licenza:
Creative commons
Dimensione
452.4 kB
Formato
Adobe PDF
|
452.4 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/11365/1224896