Archivio Istituzionale della RicercaIn this note we use multivariate subordination to introduce a multivariate extension of the generalized asymmetric Laplace motion. The class introduced provides a unified framework for several multivariate extensions of the popular variance gamma process. We also show that the associated time one distribution extends the multivariate generalized asymmetric Laplace distributions proposed in the statistical literature.
A note on the multivariate generalized asymmetric Laplace motion / Semeraro, Patrizia. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - 49:10(2020), pp. 2339-2355. [10.1080/03610926.2019.1571609]
A note on the multivariate generalized asymmetric Laplace motion
Semeraro, Patrizia
2020
Abstract
In this note we use multivariate subordination to introduce a multivariate extension of the generalized asymmetric Laplace motion. The class introduced provides a unified framework for several multivariate extensions of the popular variance gamma process. We also show that the associated time one distribution extends the multivariate generalized asymmetric Laplace distributions proposed in the statistical literature.
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laplace.pdf
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ANoteOn_resubMinor.pdf
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https://hdl.handle.net/11583/2728118