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We introduce a new class of distributions and provide a comprehensive treatment of its mathematical properties. The maximum likelihood method is discussed to estimate the parameters of the new model by means of Monte-Carlo simulation study. The heteroscedastic regression models with long-term survival are introduced to model data sets with the non homogeneity of the error variances in the presence...
Lévy processes have become very popular in many applications in finance, physics and beyond. The Student–Lévy process is one interesting special case where increments are heavy-tailed and, for 1-increments, Student t distributed. Although theoretically available, there is a lack of path simulation techniques in the literature due to its complicated form. In this paper we address this issue using series...
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