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A class of scale mixtures of $\operatorname{Gamma}(k)$-distributions that are generalized gamma convolutions

Authors :
Anita Behme
Lennart Bondesson
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.

Details

Language :
English
Database :
OpenAIRE
Journal :
Bernoulli 23, no. 1 (2017), 773-787
Accession number :
edsair.doi.dedup.....97e82d01d8143ed3fe8343fe587387a3