Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154675 | Statistics & Probability Letters | 2006 | 5 Pages |
Abstract
We link the infinitely divisible measure μ to its modified Lévy measure Ï=Ï(μ) in terms of their variance functions, where x-2[Ï(dx)-Ï({0})δ0(dx)] is the Lévy measure associated with μ. We deduce that, if the variance function of μ is a polynomial of degree p⩾2, then, the variance function of Ï is still a second degree polynomial. We illustrate these results with some Lévy processes such as positive stable and a class of Poisson stopped-sum processes.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Célestin C. Kokonendji, Mohamed Khoudar,