Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155306 | Statistics & Probability Letters | 2006 | 11 Pages |
Abstract
We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in Bryc and WesoÅowski [2005. Conditional moments of q-Meixner processes. Probab. Theory Related Fields 131, 415-441 ãarxiv.org/abs/math.PR/0403016ã], Bryc et al. [2005b. Quadratic harnesses, q-commutations, and orthogonal martingale polynomials. Trans. Amer. Math. Soc. ãarxiv.org/abs/math.PR/0504194ã, to appear], and Bryc et al. [2005a. The bi-Poisson process: a quadratic harness ãarxiv.org/abs/math.PR/0510208ã]. It can be constructed from a pair of independent Poisson processes with the same gamma-distributed intensity.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
WÅodzimierz Bryc, Jacek WesoÅowski,