P-Thinned Gamma Process and Corresponding Random Walk

机译：P瘦伽玛过程和相应的随机游走

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摘要

P-thinned Gamma processes could be considered as a particular case of renewal processes which inter-renewal times are zero-inflated Gamma distributed. This paper considers also the difference between two, not obligatory identically distributed, processes which time intersections coincide in distribution with convolutions of zero-inflated Gamma distributed random variables. The idea comes from the Variance-Gamma model which is defined as Gamma time changed Wiener processes and is stochastically equivalent to a difference between two independent Gamma processes. The main properties and numerical characteristics of the resulting process are obtained. Simulation illustrates the theoretical results.

机译：P稀疏的伽玛过程可以被视为更新过程的特殊情况，其中更新间时间为零膨胀伽玛分布。本文还考虑了两个非强制性相同分布的过程之间的差异，这些过程的时间交点与零膨胀Gamma分布随机变量的卷积在分布中重合。这个想法来自方差-伽玛模型，该模型定义为伽玛随时间变化的维纳过程，并且在随机性上等同于两个独立的伽玛过程之间的差异。获得了所得方法的主要性质和数值特征。仿真说明了理论结果。

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来源
《Finite difference methods: theory and applications》|2018年|297-304|共8页
会议地点 Lozenetz(BG)
作者
Pavlina Jordanova; Milan Stehlik;
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作者单位

Faculty of Mathematics and Informatics, Shumen University, 115 Universitetska str., 9712 Shumen, Bulgaria;

Institute of Statistics, Universidad de Valparaiso, Valparaiso, Chile,Linz Institute of Technology and Department of Applied Statistics, Johannes Kepler University, Altenbergerstrasse 69, 4040 Linz, Austria;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Random walk; Gamma process; Mixed distribution; Convolutions; Zero-inflation;

机译：随机漫步；伽玛过程；混合发行；卷积；零通胀;

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P-Thinned Gamma Process and Corresponding Random Walk

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