Representations of Levy processes without Gaussian components

• 成果类型: Article
• 署名作者: Walker, S; Damien, P
• 署名单位: Imperial College London; University of Michigan System; University of Michigan
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/87.2.477
• 发表日期: 2000
• 页码: 477483
• 关键词: DISTRIBUTIONS; models

摘要

We consider Levy processes without Gaussian components, known as pure jump processes, with a view to simulating such a process in order to implement full Bayesian nonparametric analyses involving the modelling of continuous time stochastic processes. In particular, from practical and theoretical perspectives, we investigate a recent representation of Wolpert & Ickstadt (1998).