Subexponentialiy of densities of infinitely divisible distributions

DOI10.1214/23-EJP928zbMATH Open1517.60025arXiv2205.02074MaRDI QIDQ6165212FDOQ6165212

Authors: Muneya Matsui 

Publication date: 4 July 2023

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2205.02074

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zbMATH Keywords

infinite divisibilitytail equivalencesubexponential densityLévy measurealmost decreasinglong-tailednessasymptotic to a non-increasing function

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (8)

• Subexponential densities of infinitely divisible distributions on the half-line
• Infinite divisibility and generalized subexponentiality
• Local subexponentiality of infinitely divisibile distributions
• On directional convolution equivalent densities
• On the almost decrease of a subexponential density
• Second order subexponentiality and infinite divisibility
• On the Asymptotics of the Density of an Infinitely Divisible Distribution at Infinity
• Convolution closure properties of subexponential densities

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