Tauber theory for infinitely divisible variance functions

DOI10.2307/3318587MaRDI QIDQ1363402zbMATH OpenOpenAlexFDO

Authors Bent Jørgensen, José Raúl Martínez

Publication date 19 March 1998

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1177526729

zbMATH Keywords

Lévy-Khinchin representationnatural exponential familyregular variation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Review text

The authors present a kind of Tauber theory for infinitely divisible natural exponential families. The main result states that the variance function of a family is regularly varying if and only if the spectral measure in the Lévy-Khinchin representation is regularly varying. A complete proof of this result is given elsewhere.

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Cited in

(4)

• On Lévy measures for infinitely divisible natural exponential families
• A Gibbs Conditional Theorem under Extreme Deviation
• Dispersion models for extremes
• Domains of attraction to Tweedie distributions

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