JSM 2003 Online Program

Abstract #300078

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Activity Number:	22
Type:	Contributed
Date/Time:	Sunday, August 3, 2003 : 2:00 PM to 3:50 PM
Sponsor:	Section on Bayesian Stat. Sciences
Abstract - #300078
Title:	On Extensions to Gamma Processes with Some Applications
Author(s):	Mahmoud Zarepour*+ and Hemant Ishwaran
Companies:	University of Ottawa and The Cleveland Clinic Foundation
Address:	Mathematics and Statistics Department, Ottawa, ON, K1W 1H4, Canada
Keywords:	gamma process ; multivariate gamma process ; finance ; nonparametric Bayesian inference ; variance gamma process ; series representation
Abstract:	Gamma processes are important tools in many areas of statistics. They were used extensively in nonparametric Bayesian inference and recently in finance for stock prices in variance gamma processes. We will present some extensions to these processes with several flexible parameters. Also we introduce a multivariate infinitely divisible gamma process with its series representation. Some properties of this process will be discussed and few statistical applications will be introduced.

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