On the Hougaard subordinated Gaussian Lévy processes

The Hougaard subordinated multivariate Gaussian Lévy processes are characterized. Necessary and sufficient conditions for their self-decomposability are given and related Ornstein–Uhlenbeck type processes are described.

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Bibliographic Details
Published in:Statistics & probability letters 2011-08, Vol.81 (8), p.998-1002
Main Author: Grigelionis, Bronius
Format: Article
Language:English
Subjects:
Bioinformatics
Computer Science
Exact sciences and technology
Gaussian Levy process Hougaard process Ornstein-Uhlenbeck type process Self-decomposability Subordination
Gaussian Lévy process
General topics
Hougaard process
Life Sciences
Mathematics
Ornstein–Uhlenbeck type process
Probability and statistics
Probability theory and stochastic processes
Quantitative Methods
Sciences and techniques of general use
Self-decomposability
Statistics
Stochastic processes
Subordination
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Description
Summary:The Hougaard subordinated multivariate Gaussian Lévy processes are characterized. Necessary and sufficient conditions for their self-decomposability are given and related Ornstein–Uhlenbeck type processes are described.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2011.01.020