STOCHASTIC-PROCESSES DIRECTED BY RANDOMIZED TIME

被引：29

作者：

LEE, MLT ^{[1
]}

WHITMORE, GA ^{[1
]}

机构：

[1] MCGILL UNIV,FAC MANAGEMENT,MONTREAL H3A 1G5,PQ,CANADA

来源：

JOURNAL OF APPLIED PROBABILITY | 1993年 / 30卷 / 02期

关键词：

CLUSTERING; DEPENDENCE; GAMMA; HOUGAARD; INVERSE GAUSSIAN; MARKOV; POISSON; SHOCK MODELS; STABLE; SUBORDINATION; THRESHOLD MODELS; TOTAL POSITIVITY;

D O I：

10.2307/3214840

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：

The paper investigates stochastic processes directed by a randomized time process. A new family of directing processes called Hougaard processes is introduced. Monotonicity properties preserved under subordination, and dependence among processes directed by a common randomized time are studied. Results for processes subordinated to Poisson and stable processes are presented. Potential applications to shock models and threshold models are also discussed. Only Markov processes are considered.

引用

页码：302 / 314

页数：13

共 28 条

[1] THE STABLE-LAW MODEL OF STOCK RETURNS [J].