A note on the multivariate generalized asymmetric Laplace motion |
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Authors: | Patrizia Semeraro |
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Affiliation: | 1. Dipartimento di Scienze Matematiche G. L. Lagrange, Dipartimento di eccellenza 2018-2019, Politecnico di Torino, Torino, Italypatrizia.semeraro@polito.it |
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Abstract: | AbstractIn 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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Keywords: | Multivariate subordination multivariate gamma motion multivariate Laplace motion factor-based subordinators |
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