An inverse gamma activity time process with noninteger parameters and a self-similar limit
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.
|Collections||ANU Research Publications|
|Source:||Journal of Applied Probability|
|01_Finlay_An_inverse_gamma_activity_time_2012.pdf||121.14 kB||Adobe PDF||Request a copy|
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