Cumulants of infinitely divisible distributions

DOI10.1515/ROSE.2009.007zbMATH Open1224.60023MaRDI QIDQ3077690FDOQ3077690

Authors: Arjun K. Gupta, Truc T. Nguyen, John T. Chen, Damodar Shanbhag 

Publication date: 22 February 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

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zbMATH Keywords

momentsinfinitely divisible distributionscumulantmixtures of exponential distributionsself-decomposable distributionsgeneralized gamma convolution familyKolmogorov spectral measureLévy spectral measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Cites Work

• Discrete analogues of self-decomposability and stability
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Natural exponential families with quadratic variance functions
• On Infinitely Divisible Random Vectors
• On certain self-decomposable distributions
• The student t-distribution of any degree of freedom is infinitely divisible
• Oil exploration: sequential decisions in the face of uncertainty
• Note on the Infinite Divisibility of Exponential Mixtures
• A proof of the conjecture on positive skewness of generalised inverse Gaussian distributions
• Testing for Poissonity-normality vs. other infinite divisibility
• Some results on the decomposability of the distribution of quadratic expressions
• Some further results in infinite divisibility
• On extreme stable laws and some applications
• A Test of the Significance of the Difference Between Means of Samples from Two Normal Populations Without Assuming Equal Variances

Cited In (5)

• On a new class of tempered stable distributions: moments and regular variation
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Cumulants as iterated integrals
• Moment properties of multivariate infinitely divisible laws and criteria for multivariate self-decomposability
• The Tracy-Widom distribution is not infinitely divisible

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