Duality between matrix variate t and matrix variate V.G. distributions
The (univariate) t-distribution and symmetric V.G. distribution are competing models [D.S. Madan, E. Seneta, The variance gamma (V.G.) model for share market returns, J. Business 63 (1990) 511-524; T.W. Epps, Pricing Derivative Securities, World Scientific, Singapore, 2000 (Section 9.4)] for the distribution of log-increments of the price of a financial asset. Both result from scale-mixing of the normal distribution. The analogous matrix variate distributions and their characteristic functions are derived in the sequel and are dual to each other in the sense of a simple Duality Theorem. This theorem can thus be used to yield the derivation of the characteristic function of the t-distribution and is the essence of the idea used by Dreier and Kotz [A note on the characteristic function of the t-distribution, Statist. Probab. Lett. 57 (2002) 221-224]. The present paper generalizes the univariate ideas in Section 6 of Seneta [Fitting the variance-gamma (VG) model to financial data, stochastic methods and their applications, Papers in Honour of Chris Heyde, Applied Probability Trust, Sheffield, J. Appl. Probab. (Special Volume) 41A (2004) 177-187] to the general matrix generalized inverse gaussian (MGIG) distribution.
Volume (Year): 97 (2006)
Issue (Month): 6 (July)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- T W Epps, 2000. "Pricing Derivative Securities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4415, December.
- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
- Dreier, I. & Kotz, S., 2002. "A note on the characteristic function of the t-distribution," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 221-224, April.
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