P-Thinned Gamma Process and Corresponding Random Walk

  • Pavlina JordanovaEmail author
  • Milan Stehlík
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11386)


P-thinned Gamma processes could be considered as a particular case of renewal processes which inter-renewal times are zero-inflated Gamma distributed. This paper considers also the difference between two, not obligatory identically distributed, processes which time intersections coincide in distribution with convolutions of zero-inflated Gamma distributed random variables. The idea comes from the Variance-Gamma model which is defined as Gamma time changed Wiener processes and is stochastically equivalent to a difference between two independent Gamma processes. The main properties and numerical characteristics of the resulting process are obtained. Simulation illustrates the theoretical results.


Random walk Gamma process Mixed distribution Convolutions Zero-inflation 



The authors were supported by the bilateral projects Bulgaria - Austria, 2016–2019, Feasible statistical modelling for extremes in ecology and finance, Contract number 01/8, 23/08/2017 and WTZ Project No. BG 09/2017.


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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Faculty of Mathematics and InformaticsShumen UniversityShumenBulgaria
  2. 2.Institute of StatisticsUniversidad de ValparaísoValparaísoChile
  3. 3.Linz Institute of Technology and Department of Applied StatisticsJohannes Kepler UniversityLinzAustria

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