On Multivariate Quasi-infinitely Divisible Distributions
Publikation: Beitrag in Buch/Konferenzbericht/Sammelband/Gutachten › Beitrag in Buch/Sammelband/Gutachten › Beigetragen › Begutachtung
Beitragende
Abstract
A quasi-infinitely divisible distribution on ℝd is a probability distribution μ on ℝd whose characteristic function can be written as the quotient of the characteristic functions of two infinitely divisible distributions on ℝd. Equivalently, it can be characterised as a probability distribution whose characteristic function has a Lévy–Khintchine type representation with a “signed Lévy measure”, a so called quasi–Lévy measure, rather than a Lévy measure. A systematic study of such distributions in the univariate case has been carried out in Lindner, Pan and Sato (Trans Am Math Soc 370:8483–8520, 2018). The goal of the present paper is to collect some known results on multivariate quasi-infinitely divisible distributions and to extend some of the univariate results to the multivariate setting. In particular, conditions for weak convergence, moment and support properties are considered. A special emphasis is put on examples of such distributions and in particular on ℤd -valued quasi-infinitely divisible distributions.
Details
| Originalsprache | Englisch |
|---|---|
| Titel | A Lifetime of Excursions Through Random Walks and Lévy Processes : A Volume in Honour of Ron Doney’s 80th Birthday |
| Herausgeber (Verlag) | Springer Nature |
| Seiten | 87-120 |
| Seitenumfang | 34 |
| Publikationsstatus | Veröffentlicht - 2021 |
| Peer-Review-Status | Ja |
Publikationsreihe
| Reihe | Progress in probability : PP |
|---|---|
| Band | 78 |
| ISSN | 1050-6977 |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Infinitely divisible distribution, quasi-infinitely divisible distribution, signed Lévy measure