Generalized hyperbolic models
نویسنده
چکیده
Generalized hyperbolic Lévy motions constitute a broad subclass of Lévy processes which are generated by generalized hyperbolic (GH) distributions. GH distributions were introduced in [1] in connection with a project with geologists. The Lebesgue density of this 5-parameter class can be given in the following form dGH(λ,α,β,δ,μ)(x) = a(λ, α, β, δ, μ)(δ + (x− μ)2)(λ− 1 2 )/2 × Kλ− 2 (α √ δ2 + (x− μ)2) exp(β(x− μ)) (1)
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