Quadratic harnesses from generalized beta integrals
Wlodek Bryc
TL;DR
This paper constructs Markov processes with linear regressions and quadratic conditional moments using generalized beta integrals, expanding the toolkit for modeling complex stochastic behaviors.
Contribution
It introduces a novel method of deriving quadratic harnesses from generalized beta integrals, providing new examples of such processes.
Findings
Constructed new quadratic harnesses from beta integrals
Demonstrated processes with linear regressions and quadratic conditional moments
Expanded the class of known Markov processes with these properties
Abstract
We use generalized beta integrals to construct examples of Markov processes with linear regressions, and quadratic second conditional moments.
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