AN INVERSE GAMMA ACTIVITY TIME PROCESS WITH NONINTEGER PARAMETERS AND A SELF-SIMILAR LIMIT

作者：Finlay Richard^*; Seneta Eugene; Wang Dingcheng

来源：Journal of Applied Probability, 2012, 49(2): 441-450.

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

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.

• 出版日期2012-6
• 单位南京审计大学