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A note on the multivariate generalized asymmetric Laplace motion

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  • Patrizia Semeraro

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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  • Patrizia Semeraro, 2020. "A note on the multivariate generalized asymmetric Laplace motion," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(10), pages 2339-2355, May.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:10:p:2339-2355
    DOI: 10.1080/03610926.2019.1571609
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    Cited by:

    1. Yu-Zhu Tian & Man-Lai Tang & Mao-Zai Tian, 2021. "Bayesian joint inference for multivariate quantile regression model with L $$_{1/2}$$ 1 / 2 penalty," Computational Statistics, Springer, vol. 36(4), pages 2967-2994, December.
    2. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
    3. Patrizia Semeraro, 2022. "Multivariate tempered stable additive subordination for financial models," Mathematics and Financial Economics, Springer, volume 16, number 3, December.

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