On infinitely divisible distributions with polynomially decaying characteristic functions

DOI10.1016/J.SPL.2014.07.002MaRDI QIDQ466994zbMATH OpenOpenAlexFDO

Authors Mathias Trabs

Publication date 3 November 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.3524

zbMATH Keywords

self-decomposable distributiondeconvolution operatorFourier multiplier theoremregular densityLévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Applications of functional analysis in probability theory and statistics (46N30)

Abstract: We provide necessary and sufficient conditions on the characteristics of an infinitely divisible distribution under which its characteristic function $phi$ decays polynomially. Under a mild regularity condition this polynomial decay is equivalent to $1/phi$ being a Fourier multiplier on Besov spaces.

Recommendations

• scientific article; zbMATH DE number 176896
• On the Asymptotics of the Density of an Infinitely Divisible Distribution at Infinity
• On the infinite divisibility of variance mixtures of Gaussian distributions
• Decay of Fourier transforms and generalized Besov spaces
• scientific article; zbMATH DE number 1990006

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Donsker theorem for Lévy measures
• A note on the existence of transition probability densities of Lévy processes
• A uniform central limit theorem and efficiency for deconvolution estimators
• Calibration of self-decomposable Lévy models
• Multiscale methods for shape constraints in deconvolution: confidence statements for qualitative features
• On Continuity Properties of Infinitely Divisible Distribution Functions
• On the Continuity Properties of $L$ Functions
• On the Infinitesimal Generators of Integral Convolutions
• On the optimal rates of convergence for nonparametric deconvolution problems
• Operator–valued Fourier multiplier theorems on Besov spaces
• Spectral calibration of exponential Lévy models
• Splitting at backward times in regenerative sets
• Theory of function spaces

Cited in

(8)

• On the integral modulus of continuity of infinitely divisible distributions, especially of stochastic integrals
• scientific article; zbMATH DE number 4024394 (Why is no real title available?)
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• An inverse problem for infinitely divisible moving average random fields
• scientific article; zbMATH DE number 1990006 (Why is no real title available?)
• Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
• On a linear functional for infinitely divisible moving average random fields
• Quantile estimation for Lévy measures

This page was built for publication: On infinitely divisible distributions with polynomially decaying characteristic functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q466994)