A note on the infinite divisibility of a class of transformations of normal variables

DOI10.1214/12-BJPS187MaRDI QIDQ470385zbMATH OpenFDO

Authors A. Murillo-Salas, F. J. Rubio

Publication date 12 November 2014

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.5220, https://projecteuclid.org/euclid.bjps/1378729990

zbMATH Keywords

infinite divisibilityskewed distributionskew normal distributionskewing mechanism

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory of statistical distributions (62E10)

Abstract: This note examines the infinite divisibility of density-based transformations of normal random variables. We characterize a class of density-based transformations of normal variables which produces non-infinitely divisible distributions. We relate our result with some known skewing mechanisms.

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• A Constructive Representation of Univariate Skewed Distributions
• A general class of univariate skew distributions considering Stein's lemma and infinite divisibility
• A new method for adding a parameter to a family of distributions with application to the exponential and Weibull families
• A note on rescalings, reparametrizations and classes of distributions
• Families of distributions arising from distributions of order statistics
• Hidden truncation models
• Infinite divisibility of skew Gaussian and Laplace laws
• On Bayesian Modeling of Fat Tails and Skewness
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• Statistical inference for a general class of asymmetric distributions
• The epsilon-skew-normal distribution for analyzing near-normal data

Cited in

(4)

• On the propriety of the posterior of hierarchical linear mixed models with flexible random effects distributions
• Letter to the editor [Division of independent variable and transcendence].
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