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...

This paper proposes a reformulation and extension of the concept of Extended Self-Similarity. In support of this new hypothesis, we discuss an analysis of the probability density function (pdf) of turbulent velocity increments based on the class of normal inverse Gaussian distributions. It...

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...