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• W2061042647 abstract "We construct a process with inverse gamma increments and an asymptotically self-similar limit. This construction supports the use of long-range-dependent t subordinator models for actual financial data as advocated in Heyde and Leonenko (2005), in that it allows for noninteger-valued model parameters, as is found empirically in model estimation from data." @default.
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• W2061042647 date "2012-06-01" @default.
• W2061042647 modified "2023-09-26" @default.
• W2061042647 title "An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit" @default.
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• W2061042647 doi "https://doi.org/10.1239/jap/1339878797" @default.
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