A generalization of random self-decomposability

arXiv1009.5141MaRDI QIDQ6220892FDOQ6220892

Authors: S. Satheesh, E. Sandhya 

Publication date: 26 September 2010

Abstract: The notion of random self-decomposability is generalized here. Its relation to self-decomposability, Harris infinite divisibility and its connection with a stationary first order generalized autoregressive model are presented. The notion is then extended to $mathbf{Z}_{+}$-valued distributions.

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory of statistical distributions (62E10)

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