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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2405.16614 |
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| _version_ | 1866910460145565696 |
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| author | Nzokem, A. H. |
| author_facet | Nzokem, A. H. |
| contents | The paper describes the self-decomposable distribution and the background driving Lévy process (BDLP) associated with the Generalized Tempered Stable (GTS) distribution. Two distributions are provided: the background driving Lévy process (BDLP) of the GTS distribution and the self-decomposable distribution generated by the GTS distribution as BDLP. The derived self-decomposable distribution and the GTS distribution are used as stationary distribution in the Ornstein-Uhlenbeck type process. A simulation method, based on sampling the random integral representation, is applied to mimic S&P 500 Index and Bitcoin daily cumulative return process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_16614 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications Nzokem, A. H. Probability The paper describes the self-decomposable distribution and the background driving Lévy process (BDLP) associated with the Generalized Tempered Stable (GTS) distribution. Two distributions are provided: the background driving Lévy process (BDLP) of the GTS distribution and the self-decomposable distribution generated by the GTS distribution as BDLP. The derived self-decomposable distribution and the GTS distribution are used as stationary distribution in the Ornstein-Uhlenbeck type process. A simulation method, based on sampling the random integral representation, is applied to mimic S&P 500 Index and Bitcoin daily cumulative return process. |
| title | Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications |
| topic | Probability |
| url | https://arxiv.org/abs/2405.16614 |