1995
DOI: 10.1016/0895-7177(95)00105-b
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α-Laplace processes

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Cited by 19 publications
(11 citation statements)
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“…The class of probability distributions with density functions p α,ν,θ (x) corresponding to ch.f. (3) have found some interesting properties and applications, see [1,2,6,11,[27][28][29]32] and related papers. In particular, they are good candidates to model financial data which exhibits high kurtosis and heavy tails [36].…”
Section: The Linnik Distributionsmentioning
confidence: 99%
“…The class of probability distributions with density functions p α,ν,θ (x) corresponding to ch.f. (3) have found some interesting properties and applications, see [1,2,6,11,[27][28][29]32] and related papers. In particular, they are good candidates to model financial data which exhibits high kurtosis and heavy tails [36].…”
Section: The Linnik Distributionsmentioning
confidence: 99%
“…Jayakumar et al (1995) developed an algorithm for generating α-Laplace processes with the help of some well-known results in Devroye (1990). The algorithm for generating the GNLAR(1) process for integer values of δ is given below:…”
Section: Appendixmentioning
confidence: 99%
“…Jayakumar et al (1995) developed an algorithm to generate Linnik random variables. In a similar manner the PGLAR (1) process can be generated using computers.…”
Section: Pakes Generalized Linnik Distribution and Processesmentioning
confidence: 99%
“…Kozubowski (2000) discussed the fractional moment estimation of Linnik parameters. Jayakumar et al (1995) generalized the Laplace processes of Lawrance (1978) and Dewald and Lewis (1985). Kotz et al (2001) discuss various generalizations of the Laplace distributions.…”
Section: Introductionmentioning
confidence: 98%