Some properties of extreme stable laws and related infinitely divisible random variables

Abstract

In the course of studying the moment sequence { nn : n = 0, 1, ... }, Eaton et al. [1971. On extreme stable laws and some applications. J. Appl. Probab. 8, 794-801] have shown that this sequence, which is, indeed, the moment sequence of a log-extreme stable law with characteristic exponent γ = 1, corresponds to a scale mixture of exponential distributions and hence to a distribution with decreasing failure rate. Following essentially the approach of Shanbhag et al. [1977. Some further results in infinite divisibility. Math. Proc. Cambridge Philos. Soc. 82, 289-295] we show that, under certain conditions, log-extreme stable laws with characteristic exponent γ ∈ [1, 2) are scale mixtures of exponential distributions and hence are infinitely divisible and have decreasing failure rates. In addition, we study the moment problem associated with the log-extreme stable laws with characteristic exponent γ ∈ (0, 2] and throw further light on the existing literature on the subject. As a by-product, we show that generalized Poisson and generalized negative binomial distributions are mixed Poisson distributions. Finally, we address some relevant questions on structural aspects of infinitely divisible distributions, and make new observations, including in particular that certain results appearing in Steutel and van Harn [2004. Infinite Divisibility of Probability Distributions on the Real Line. Marcel Dekker, New York] have links with the Wiener-Hopf factorization met in the theory of random walk. © 2008 Elsevier B.V. All rights reserved.