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On certain self-decomposable self-similar processes with independent increments

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  • Akita, Koji
  • Maejima, Makoto

Abstract

Several examples of a subclass of self-decomposable distributions on the real line are given for constructing certain self-decomposable self-similar processes with independent increments.

Suggested Citation

  • Akita, Koji & Maejima, Makoto, 2002. "On certain self-decomposable self-similar processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 59(1), pages 53-59, August.
    • Handle: RePEc:eee:stapro:v:59:y:2002:i:1:p:53-59
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    References listed on IDEAS

    as
    1. Maejima, Makoto & Sato, Ken-iti & Watanabe, Toshiro, 2000. "Distributions of selfsimilar and semi-selfsimilar processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 47(4), pages 395-401, May.
    2. Sato, Ken-iti, 1980. "Class L of multivariate distributions and its subclasses," Journal of Multivariate Analysis, Elsevier, vol. 10(2), pages 207-232, June.
    3. Sato, Ken-iti, 2001. "Subordination and self-decomposability," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 317-324, October.
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    Cited by:

    1. Bianchi, Sergio, 2004. "A new distribution-based test of self-similarity," MPRA Paper 16640, University Library of Munich, Germany.
    2. Maejima, Makoto & Pérez-Abreu, Víctor, 2007. "A class of random matrices with infinitely divisible determinants," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 166-168, January.
    3. A. H. Darooneh & B. Rahmani, 2009. "Finite size correction for fixed word length Zipf analysis," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 70(2), pages 287-291, July.
    4. Ole E. Barndorff-Nielsen & Makoto Maejima & Ken-iti Sato, 2006. "Infinite Divisibility for Stochastic Processes and Time Change," Journal of Theoretical Probability, Springer, vol. 19(2), pages 411-446, June.

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