TEMPERED INFINITELY DIVISIBLE DISTRIBUTIONS AND PROCESSES

被引：22

作者：

Bianchi, M. L. ^{[1
]}

Rachev, S. T. ^{[2
,3
,4
]}

Kim, Y. S. ^{[2
,3
]}

Fabozzi, F. J. ^{[5
]}

机构：

[1] Bank Italy, Specialized Intermediaries Supervis Dept, Rome, Italy

[2] Univ Karlsruhe, Dept Econometr Stat & Math Finance, Sch Econ & Business Engn, Karlsruhe, Germany

[3] KIT, Karlsruhe, Germany

[4] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

[5] Yale Univ, Sch Management, New Haven, CT 06520 USA

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2011年 / 55卷 / 01期

关键词：

stable distributions; tempered stable distributions; tempered infinitely divisible distributions;

D O I：

10.1137/S0040585X97984632

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 paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced in the seminal work of Rosinski [Stochastic Process. Appl., 117 (2007), pp. 677-707], a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper properties of the Rosinski setting. Furthermore, we prove that the modified tempered stable distribution is TID and give some further parametric examples.

引用

页码：2 / 26

页数：25

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[3]

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[4]

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Rachev, Svetlozar T. ;

Bianchi, Michele Leonardo ;

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[9]

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[10]

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