A note on the multivariate generalized asymmetric Laplace motion

Patrizia Semeraro

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 10, 2339-2355

Abstract: In this note, we use multivariate subordination to introduce a multivariate extension of the generalized asymmetric Laplace motion. The class introduced provides a unified framework for several multivariate extensions of the popular variance gamma process. We also show that the associated time one distribution extends the multivariate generalized asymmetric Laplace distributions proposed in the statistical literature.

Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/03610926.2019.1571609

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