Skip navigation
Skip navigation

An inverse gamma activity time process with noninteger parameters and a self-similar limit

Finlay, Richard; Wang, Dingcheng; Seneta, E


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.

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
Source: Journal of Applied Probability
DOI: 10.1239/jap/1339878797


File Description SizeFormat Image
01_Finlay_An_inverse_gamma_activity_time_2012.pdf121.14 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator