The Normal-Generalised Gamma-Pareto process: a novel pure-jump Levy process with flexible tail and jump-activity properties
We propose a novel family of self-decomposable L´evy processes where one can control separately the tail behavior and the jump activity of the process, via two different parameters. Crucially, we show that one can sample exactly increments of this process, at any time scale; this allows the implemen...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
International Society for Bayesian Analysis
2022
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