On directional convolution equivalent densities

DOI10.1214/22-EJP790zbMATH Open1498.60058arXiv2109.06336OpenAlexW3201010356MaRDI QIDQ2144337FDOQ2144337

Daniel Ponikowski, Kamil Kaleta

Publication date: 13 June 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We propose a definition of directional multivariate subexponential and convolution equivalent densities and find a useful characterization of these notions for a class of integrable and almost radial decreasing functions. We apply this result to show that the density of the absolutely continuous part of the compound Poisson measure built on a given density $f$ is directionally convolution equivalent and inherits its asymptotic behaviour from $f$ if and only if $f$ is directionally convolution equivalent. We also extend this characterization to the densities of more general infinitely divisible distributions on $mathbb{R}^d$, $dgeq1$, which are not pure compound Poisson.

Full work available at URL: https://arxiv.org/abs/2109.06336

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]coneexponential decayspatial asymptoticsrandom sumsubexponential distributioninfinitely divisible distributionmultivariate densitycompound Poisson measureisotropic unimodal distributionalmost radial decreasing function

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sums of independent random variables; random walks (60G50) Functions of several variables (26B99)

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Cited In (2)

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