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Selfdecomposability of moving average fractional Lévy processes

Author

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  • Cohen, Serge
  • Maejima, Makoto

Abstract

We study the relationships between the selfdecomposability of marginal distributions or finite dimensional distributions of moving average fractional Lévy processes and distributions of their driving Lévy processes.

Suggested Citation

  • Cohen, Serge & Maejima, Makoto, 2011. "Selfdecomposability of moving average fractional Lévy processes," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1664-1669, November.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1664-1669
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    References listed on IDEAS

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    1. Jurek, Zbigniew J., 1983. "Limit distributions and one-parameter groups of linear operators on Banach spaces," Journal of Multivariate Analysis, Elsevier, vol. 13(4), pages 578-604, December.
    2. Sato, Ken-iti, 1980. "Class L of multivariate distributions and its subclasses," Journal of Multivariate Analysis, Elsevier, vol. 10(2), pages 207-232, June.
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    Cited by:

    1. Ole E. Barndorff-Nielsen & Orimar Sauri & Benedykt Szozda, 2017. "Selfdecomposable Fields," Journal of Theoretical Probability, Springer, vol. 30(1), pages 233-267, March.
    2. Jurek, Zbigniew J., 2013. "Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 177-183.

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