Infinite divisibility of the spacings of a Kotz-Kozubowski-Podgórski generalized Laplace model

DOI10.1016/J.SPL.2008.02.023MaRDI QIDQ951193zbMATH OpenOpenAlexFDO

Authors M. F. Brilhante, Samuel Kotz

Publication date 30 October 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.02.023

zbMATH Keywords

characteristic function Laplace distribution mixtures of exponential distributions spacings

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

Review text

The authors define a asymmetric Laplace distribution by its characteristic function \(\psi\): \[ \psi(t) = \frac{e^{i\theta t}}{1+\frac{1}{2}\sigma^{2}t^{2} - i\mu t}. \] They prove that the spacings of this distribution have distributions that are two-component mixtures of exponential distributions, and hence are infinitely divisible. These mixtures may be `generalized', i.e., one of the components may have a negative sign.

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