On a class of distributions stable under random summation

DOI10.1239/JAP/1339878788MaRDI QIDQ2897144zbMATH OpenOpenAlexFDO

Authors L. B. Klebanov, A. V. Kakosyan, Svetlozar T. Rachev, G. Temnov

Publication date 8 July 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.3150, https://projecteuclid.org/euclid.jap/1339878788

zbMATH Keywords

characteristic functionhyperbolic secant distributionrandom summationstability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

Abstract: We investigate a family of distributions having a property of stability-under-addition, provided that the number $u$ of added-up random variables in the random sum is also a random variable. We call the corresponding property a ,$u$-stability and investigate the situation with the semigroup generated by the generating function of $u$ is commutative. Using results from the theory of iterations of analytic functions, we show that the characteristic function of such a $u$-stable distribution can be represented in terms of Chebyshev polynomials, and for the case of $u$-normal distribution, the resulting characteristic function corresponds to the hyperbolic secant distribution. We discuss some specific properties of the class and present particular examples.

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Cited in

(14)

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• CHARACTERIZATIONS OF SHIFT‐INVARIANT DISTRIBUTIONS BASED ON SUMMATION MODULO ONE
• On finite-dimensional distributions of a random element conditioned by the sum of random elements
• Stability and heavy-tailness
• A note on certain stability and limiting properties of nu-infinitely divisible distributions
• О сходимости распределений случайных сумм независимых случайных величин к устойчивым законам
• О сходимости распределений случайных сумм независимых случайных величин к устойчивым законам
• Characterizations of probability distributions by the properties of linear forms with random coefficients
• On Normalization of Integer-Valued Random Variables
• Limit theorems as characterization problems in probability theory

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