Abstract
We introduce a scale invariance property for Poisson point processes and use this property to define a series representation for a correlated bivariate gamma process. This approach is quite general and can be used to define other types of multidimensional Levy processes with given marginals. Some important special cases are bivariate G-processes, bivariate variance gamma processes and multivariate Dirichlet processes. Using the scale invariance principle we show how to construct simple approximations to these multivariate processes.
Original language | English (US) |
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Pages (from-to) | 1665-1682 |
Number of pages | 18 |
Journal | Statistica Sinica |
Volume | 19 |
Issue number | 4 |
State | Published - Oct 1 2009 |
Externally published | Yes |
Keywords
- Correlated process
- Easure
- G-measure
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty