Inversion formula for infinitely divisible distributions
From MaRDI portal
Abstract: The aim of this note is to prove the inversion formula, which can be used to compute the Levi measure of an infinitely divisible distribution from its characteristic function. Obtained formula is similar to the well-known inversion formula [2], which is used to compute the distribution function of a random variable from the corresponding characteristic function.
Recommendations
- An approximation to infinitely divisible laws
- Numerical inversion of a characteristic function
- Characterization of infinite divisibility by duality formulas. Application to Lévy processes and random measures
- scientific article; zbMATH DE number 1139954
- AN INTEGRAL FOR LOGARITHMS OF INFINITELY DIVISIBLE CHARACTERISTIC FUNCTIONS
Cited in
(10)- Probability measures, Lévy measures and analyticity in time
- Inversion formula for continuous multifractals
- Characterization of infinite divisibility by duality formulas. Application to Lévy processes and random measures
- Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities
- Nonparametric inference for discretely sampled Lévy processes
- Multivariate normal \(\alpha\)-stable exponential families
- scientific article; zbMATH DE number 1139954 (Why is no real title available?)
- A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
- Numerical inversion of a characteristic function
- Simulation of supOU processes with specified marginal distribution and correlation function
This page was built for publication: Inversion formula for infinitely divisible distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3593719)
