The variance gamma distribution

Nestler, S., Hall, & Andrew. (2019). The variance gamma distribution.

Type

Unclassified

Intellectual base

Unclassified

Year

2019

DOI

10.1111/j.1740-9713.2019.01314.x

Link

https://doi.org/10.1111/j.1740-9713.2019.01314.x

Cited by

1 citation across 1 artifact.

Domain-specific

• Variance-gamma distribution
  • … and a convenient observable transfers from A Brownian motion with drift observed at an independent gamma-process time has variance-gamma increments. to Fitting reports parameter convention, tail diagnostics and uncertainty and does not compare software outputs until equivalent parameterizations are established..

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