Limiting behavior of certain mixtures of distributions (Q1813320)

The authors consider a random variable \(Y\) with characteristic function \(\varphi(u)\), a random variable \(U\) uniformly distributed on [0,1], and independent of \(Y\), and the characteristic function of the distribution function corresponding to the \(\nu\)-unimodal random variable \(X=[1- U^{1/\nu}]Y\): \[ \gamma(u)=\nu\int^ 1_ 0\varphi(ux)(1-x)^{\nu- 1}dx,\quad\nu>0. \] They study some properties of the class \(M\) of characteristic functions of the above form. Let \(\psi(u)\) be an element of the class of characteristic functions corresponding to distribution functions which are scale mixtures of the exponential distribution; the first result obtained consists in proving that there exists a sequence \(\{\psi_ n\}\) of characteristic functions of class \(M\) such that \(\lim_ n\psi_ n(nu)=\psi(u)\). The authors also prove that if \(\gamma(u)\) is the characteristic function of a \(\nu\)-unimodal distribution function \((\nu\geq 2)\), then the function \(\psi(u)=\exp(-u^ 2\gamma(u))\) is the characteristic function of an infinitely divisible distribution function with finite second moment. Moreover, by using the above mentioned results, they study a particular sequence \(\{\gamma_ n\}\) of characteristic functions of class \(M\), where \[ \gamma_ n(u)=n!\left[\varphi(u)-\sum^ n_{k=0}{\varphi^{(k)}(0)\over k!}u^ k\right]\left/\varphi^{(n)}(0)u^ n\right.,\quad n\in\mathbb{N}, \] by describing its limiting behavior as \(n\) diverges to infinity.