On Multivariate Quasi-infinitely Divisible Distributions
Research output: Contribution to book/Conference proceedings/Anthology/Report › Chapter in book/Anthology/Report › Contributed › peer-review
Contributors
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
Original language | English |
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Title of host publication | A Lifetime of Excursions Through Random Walks and Lévy Processes : A Volume in Honour of Ron Doney’s 80th Birthday |
Publisher | Springer Nature |
Pages | 87-120 |
Number of pages | 34 |
Publication status | Published - 2021 |
Peer-reviewed | Yes |
Publication series
Series | Progress in probability : PP |
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Volume | 78 |
ISSN | 1050-6977 |
Keywords
ASJC Scopus subject areas
Keywords
- Infinitely divisible distribution, quasi-infinitely divisible distribution, signed Lévy measure