Multivariate Normal α-Stable Exponential Families

被引：5

作者：

Louati, Mahdi ^{[1
]}

Masmoudi, Afif ^{[2
]}

Mselmi, Farouk ^{[3
]}

机构：

[1] Sfax Natl Sch Elect & Telecommun, BP 1163, Sfax, Tunisia

[2] Sfax Fac Sci, Lab Probabil & Stat, BP 1171, Sfax, Tunisia

[3] Sfax Univ, Lab Probabil & Stat, BP 1171, Sfax, Tunisia

来源：

MEDITERRANEAN JOURNAL OF MATHEMATICS | 2016年 / 13卷 / 03期

关键词：

Drifted stable distributions; infinitely divisible; natural exponential families; normal alpha-stable distributions; variance function; GENERALIZED VARIANCE; DISTRIBUTIONS; MODEL; VOLATILITY; TIME;

D O I：

10.1007/s00009-015-0562-y

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The normal inverse Gaussian distributions are used to introduce the class of multivariate normal alpha-stable distributions. Some fundamental properties of these new distributions are established. We give the expression of the variance function of the generated natural exponential family and we use the L,vy-Khintchine representation to determine the associated L,vy measure. We also study the relationship between these distributions and the multivariate inverse Gaussian ones.

引用

页码：1307 / 1323

页数：17

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