First passage times on zero and one and natural exponential families

被引：0

作者：

Kokonendji, CC ^{[1
]}

机构：

[1] Univ Pau & Pays Adour, CNRS, ERS 2055,IUT STID, Lab Math Appl, F-64000 Pau, France

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 51卷 / 03期

关键词：

first passage time; inversion; Levy process; natural exponential family; variance function;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we link the first passage times on zero and one for certain Levy processes on R and for right continuous random walks on Z. We use it to get a probabilistic interpretation of the notion of inversion between natural exponential families. The application to cubic variance functions is given. (C) 2001 Elsevier Science B.V. All rights reserved MSC: 60E07; 62B15.

引用

页码：293 / 298

页数：6

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