Any generalized inverse Gaussian distribution with a non-positive power parameter is shown to be the distribution of the first hitting time of level 0 for each of a variety of time-homogeneous diffusions on the interval [0, [infinity]). The infinite divisibility of the generalized inverse...

We discuss various properties of a homogeneous random multifractal process, which are related to the issue of scale correlations. By design, the process has no built-in scale correlations. However, when it comes to observables like breakdown coefficients, which are based on a coarse-graining of...

One of the difficulties that arise in the statistical analysis of autoregressive schemes is the very complex nature of the domain of the regression parameters. In the present paper we study an alternative parametrization of autoregressive models of finite order, namely the parametrization by the...