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A class of scale mixtures of $\operatorname{Gamma}(k)$-distributions that are generalized gamma convolutions
- Source :
- Bernoulli 23, no. 1 (2017), 773-787
- Publication Year :
- 2017
- Publisher :
- Bernoulli Society for Mathematical Statistics and Probability, 2017.
-
Abstract
- Let $k>0$ be an integer and $Y$ a standard $\operatorname{Gamma}(k)$ distributed random variable. Let $X$ be an independent positive random variable with a density that is hyperbolically monotone (HM) of order $k$. Then $Y\cdot X$ and $Y/X$ both have distributions that are generalized gamma convolutions ($\mathrm{GGC}$s). This result extends a result of Roynette et al. from 2009 who treated the case $k=1$ but without use of the $\mathrm{HM}$-concept. Applications in excursion theory of diffusions and in the theory of exponential functionals of Lévy processes are mentioned.
- Subjects :
- Statistics and Probability
Class (set theory)
Lévy process
010102 general mathematics
excursion theory
products and ratios of independent random variables
Scale (descriptive set theory)
0102 computer and information sciences
hyperbolic monotonicity
01 natural sciences
Combinatorics
Monotone polygon
Integer
010201 computation theory & mathematics
Order (group theory)
exponential functionals
0101 mathematics
Random variable
Mathematics
generalized gamma convolution
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- Bernoulli 23, no. 1 (2017), 773-787
- Accession number :
- edsair.doi.dedup.....97e82d01d8143ed3fe8343fe587387a3