Subexponentialiy of densities of infinitely divisible distributions
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Abstract: We show the equivalence of three properties for an infinitely divisible distribution: the subexponentiality of the density, the subexponentiality of the density of its L'evy measure and the tail equivalence between the density and its L'evy measure density, under monotonic-type assumptions on the L'evy measure density. The key assumption is that tail of the L'evy measure density is asymptotic to a non-increasing function or is eventually non-increasing. Our conditions are novel and cover a rather wide class of infinitely divisible distributions. Several significant properties for analyzing the subexponentiality of densities have been derived such as closure properties of [ convolution, convolution roots and asymptotic equivalence ] and the factorization property. Moreover, we illustrate that the results are applicable for developing the statistical inference of subexponential infinitely divisible distributions which are absolutely continuous.
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Cited in
(9)- Distribution tails of sample quantiles and subexponentiality
- On directional convolution equivalent densities
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