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Masmoudi A, Rejeb H. Infinitely divisible matrix gamma distribution: Asymptotic behaviour and parameters estimation. Stat Probab Lett 2022. [DOI: 10.1016/j.spl.2022.109757] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 12/15/2022]
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Mathai AM, Provost SB. On the singular gamma, Wishart, and beta matrix‐variate density functions. CAN J STAT 2022. [DOI: 10.1002/cjs.11710] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/08/2022]
Affiliation(s)
- Arak M. Mathai
- Department of Mathematics and Statistics McGill University Montreal Quebec Canada
| | - Serge B. Provost
- Department of Statistical and Actuarial Sciences The University of Western Ontario London Ontario Canada
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Walker SG. On infinitely divisible multivariate gamma distributions. COMMUN STAT-THEOR M 2021. [DOI: 10.1080/03610926.2021.1995431] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
Affiliation(s)
- Stephen G. Walker
- Department of Mathematics, University of Texas at Austin, Austin, Texas, USA
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Laverny O, Masiello E, Maume-Deschamps V, Rullière D. Estimation of multivariate generalized gamma convolutions through Laguerre expansions. Electron J Stat 2021. [DOI: 10.1214/21-ejs1918] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 12/11/2022]
Affiliation(s)
- Oskar Laverny
- Institut Camille Jordan - ICJ, Univ Lyon, Université Claude Bernard Lyon 1, CNRS UMR 5208, F-69622 Villeurbanne, France SCOR SE
| | - Esterina Masiello
- Institut Camille Jordan - ICJ, Univ Lyon, Université Claude Bernard Lyon 1, CNRS UMR 5208, F-69622 Villeurbanne, France
| | - Véronique Maume-Deschamps
- Institut Camille Jordan - ICJ, Univ Lyon, Université Claude Bernard Lyon 1, CNRS UMR 5208, F-69622 Villeurbanne, France
| | - Didier Rullière
- Mines Saint-Étienne, Univ Clermont Auvergne, CNRS, UMR 6158 LIMOS, Institut Henri Fayol, Saint-Etienne, France
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Affiliation(s)
- Patrizia Semeraro
- Dipartimento di Scienze Matematiche G. L. Lagrange, Dipartimento di eccellenza 2018-2019, Politecnico di Torino, Torino, Italy
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Buchmann B, Lu KW, Madan DB. Self-decomposability of weak variance generalised gamma convolutions. Stoch Process Their Appl 2020. [DOI: 10.1016/j.spa.2019.02.012] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
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Bayesian nonparametric analysis of multivariate time series: A matrix Gamma Process approach. J MULTIVARIATE ANAL 2020. [DOI: 10.1016/j.jmva.2019.104560] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/24/2022]
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Buchmann B, Lu KW, Madan DB. Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions. BERNOULLI 2019. [DOI: 10.3150/17-bej1004] [Citation(s) in RCA: 15] [Impact Index Per Article: 3.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Arras B, Houdré C. On Stein’s method for multivariate self-decomposable laws with finite first moment. ELECTRON J PROBAB 2019. [DOI: 10.1214/19-ejp285] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Buchmann B, Kaehler B, Maller R, Szimayer A. Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing. Stoch Process Their Appl 2017. [DOI: 10.1016/j.spa.2016.10.008] [Citation(s) in RCA: 15] [Impact Index Per Article: 2.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/15/2022]
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