Distributional properties of the negative binomial Levy process

Tomasz J. Kozubowski and Krzysztof Podgorski


Centre for Mathematical Sciences
Mathematical Statistics
Lund Institute of Technology,
Lund University
2008

ISSN 1403-9338
Abstract:
The geometric distribution leads to a Levy process parameterized by the probability of success. The resulting negative binomial process (NBP) is a purely jump and non-decreasing process with general negative binomial marginal distributions. We review various stochastic mechanisms leading to this process, and study its distributional structure. These results enable us to establish strong convergence of the NBP in the supremum norm to the gamma process, and lead to a straightforward algorithm for simulating sample paths. We also include a brief discussion of estimation of the NPB parameters, and present an example from hydrology illustrating possible applications of this model.