On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos

DOI10.15559/20-VMSTA160MaRDI QIDQ2218141zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 January 2021

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.09508

zbMATH Keywords

infinite divisibilitysecond Wiener chaossums of Gaussian squares

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Gaussian processes (60G15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

Abstract: Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility is presented as well as more easily verifiable sufficient conditions. The case where both components consist of a sum of two Gaussian squares is treated in more depth, and it is conjectured that such vectors are infinitely divisible.

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Cited in

(2)

• Existence of a critical point for the infinite divisibility of squares of Gaussian vectors in \(\mathbb R^{2}\) with non-zero mean
• On the infinite divisibility of squared Gaussian processes

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