Estimation of multivariate generalized gamma convolutions through Laguerre expansions
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Publication:2074286
DOI10.1214/21-EJS1918zbMATH Open1482.60021arXiv2103.03200MaRDI QIDQ2074286FDOQ2074286
Authors: Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps, Didier Rullière 
Publication date: 9 February 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions. Although these distributions have been extensively studied in the univariate case, the multivariate case and the dependence structures that can arise from it have received little interest in the literature. Furthermore, only one projection procedure for the univariate case was recently constructed, and no estimation procedures are available. By expanding the densities of multivariate generalized gamma convolutions into a tensorized Laguerre basis, we bridge the gap and provide performant estimation procedures for both the univariate and multivariate cases. We provide some insights about performance of these procedures, and a convergent series for the density of multivariate gamma convolutions, which is shown to be more stable than Moschopoulos's and Mathai's univariate series. We furthermore discuss some examples.
Full work available at URL: https://arxiv.org/abs/2103.03200
Recommendations
estimationinfinite divisibilityLaguerre's basismultivariate generalized gamma convolutionsThorin's measure
Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Estimation in multivariate analysis (62H12)
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