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

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Finlay, Richard; Wang, Dingcheng; Seneta, E

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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.

dc.contributor.authorFinlay, Richard
dc.contributor.authorWang, Dingcheng
dc.contributor.authorSeneta, E
dc.date.accessioned2015-12-13T22:19:25Z
dc.identifier.issn0021-9002
dc.identifier.urihttp://hdl.handle.net/1885/71792
dc.description.abstractWe 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.
dc.publisherApplied Probability Trust
dc.sourceJournal of Applied Probability
dc.subjectKeywords: Inverse gamma process; Long-range dependence; Self similarity; Subordinator model; T-distribution
dc.titleAn inverse gamma activity time process with noninteger parameters and a self-similar limit
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume49
dc.date.issued2012
local.identifier.absfor010404 - Probability Theory
local.identifier.ariespublicationf5625xPUB2884
local.type.statusPublished Version
local.contributor.affiliationFinlay, Richard, University of Sydney
local.contributor.affiliationWang, Dingcheng, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationSeneta, E, University of Sydney
local.description.embargo2037-12-31
local.bibliographicCitation.issue2
local.bibliographicCitation.startpage441
local.bibliographicCitation.lastpage450
local.identifier.doi10.1239/jap/1339878797
dc.date.updated2016-02-24T09:03:18Z
local.identifier.scopusID2-s2.0-84872231266
local.identifier.thomsonID000299589800036
CollectionsANU Research Publications

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