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) |
|---|---|
| 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
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Ishwaran, H., & Zarepour, M. (2009). Series representations for multivariate generalized gamma processes via a scale invariance principle. Statistica Sinica, 19(4), 1665-1682.