New Explicit Examples of Fixed Points of Poisson Shot Noise Transforms

DOI10.1111/J.1467-842X.2004.00332.XMaRDI QIDQ4669477zbMATHFDO

Authors Alexander Iksanov, Chesoong Kim

Publication date 15 April 2005

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0202035

zbMATH Keywords

fixed pointsize-biased distributionperpetuityself-decomposable distributionresponse functiona Pitman-Yor problemPoisson shot noise distribution

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Distribution theory (60E99)

Abstract: We show that gamma distributions, generalized positive Linnik distributions, S2 distributions are fixed points of Poisson shot noise transforms. The corresponding response functions are identified via their inverse functions except for some special cases when those can be obtained explicitly. As a by-product, it is proven that log-convexity of the response function is not necessary for selfdecomposability of non-negative Poisson shot noise distribution. Some attention is given to perpetuities of a rather special type which are closely related to our model. In particular, we study the problem of their existence and uniqueness.

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Cited in

(5)

• On distributional properties of perpetuities
• On fixed points of Poisson shot noise transforms
• Elementary fixed points of the BRW smoothing transforms with infinite number of summands
• scientific article; zbMATH DE number 5055401 (Why is no real title available?)
• On a Pitman-Yor problem

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