LINNIK DISTRIBUTIONS AND PROCESSES

被引：53

作者：

ANDERSON, DN

ARNOLD, BC

机构：

来源：

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

关键词：

GEOMETRIC COMPOUNDING; TIME SERIES; STABLE DISTRIBUTION; STOCK PRICES;

D O I：

10.2307/3214842

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

Using a simple characterization of the Linnik distribution, discrete-time processes having a stationary Linnik distribution are constructed. The processes are structurally related to exponential processes introduced by Arnold (1989), Lawrance and Lewis (1981) and Gaver and Lewis (1980). Multivariate versions of the processes are also described. These Linnik models appear to be viable alternatives to stable processes as models for temporal changes in stock prices.

引用

页码：330 / 340

页数：11

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[1]

ABRAMOWITZ M, 1968, NBS APPLIED MATH SER, V55

[2]

ANDERSON DN, 1991, IN PRESS STATIST PRO

[3]

ANDERSON DN, 1990, THESIS U CALIFORNIA

[4]

ARNOLD BC, 1989, STAT PROBABIL LETT, V7, P253