New Explicit Examples of Fixed Points of Poisson Shot Noise Transforms

DOI10.1111/J.1467-842X.2004.00332.XzbMATH Open1071.60008arXivmath/0202035MaRDI QIDQ4669477FDOQ4669477

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)

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.

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

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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)

Cited In (5)

• On distributional properties of perpetuities
• Elementary fixed points of the BRW smoothing transforms with infinite number of summands
• On a Pitman-Yor problem
• On fixed points of Poisson shot noise transforms
• Title not available (Why is that?)

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