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Approximation of the quasi-deviance function for the time-changed Lévy processes by the first-exit time of the inverse Gaussian subordinator
Stat ( IF 0.7 ) Pub Date : 2021-02-17 , DOI: 10.1002/sta4.362
Farouk Mselmi 1
Affiliation  

In this paper, we approximate the link and variance functions of the natural exponential family generated by the distribution of the class of time-changed Lévy processes by the first-exit time of the inverse Gaussian subordinator. These results lead us to get an approximation for the quasi-deviance function.

中文翻译:

时变 Lévy 过程的准偏差函数通过逆高斯从属函数的首次退出时间逼近

在本文中,我们通过逆高斯从属函数的第一退出时间来近似由时变 Lévy 过程类的分布生成的自然指数族的链接和方差函数。这些结果使我们得到了准偏差函数的近似值。
更新日期:2021-02-17
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