Moment properties of multivariate infinitely divisible laws and criteria for multivariate self-decomposability
dc.contributor.author | Sapatinas, Theofanis | en |
dc.contributor.author | Shanbhag, D. N. | en |
dc.creator | Sapatinas, Theofanis | en |
dc.creator | Shanbhag, D. N. | en |
dc.date.accessioned | 2019-12-02T10:38:10Z | |
dc.date.available | 2019-12-02T10:38:10Z | |
dc.date.issued | 2010 | |
dc.identifier.issn | 0047-259X | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57597 | |
dc.description.abstract | Ramachandran (1969) [9, Theorem 8] has shown that for any univariate infinitely divisible distribution and any positive real number α, an absolute moment of order α relative to the distribution exists (as a finite number) if and only if this is so for a certain truncated version of the corresponding Lévy measure. A generalized version of this result in the case of multivariate infinitely divisible distributions, involving the concept of g-moments, was given by Sato (1999) [6, Theorem 25.3]. We extend Ramachandran's theorem to the multivariate case, keeping in mind the immediate requirements under appropriate assumptions of cumulant studies of the distributions referred to | en |
dc.description.abstract | the format of Sato's theorem just referred to obviously varies from ours and seems to have a different agenda. Also, appealing to a further criterion based on the Lévy measure, we identify in a certain class of multivariate infinitely divisible distributions the distributions that are self-decomposable | en |
dc.description.abstract | this throws new light on structural aspects of certain multivariate distributions such as the multivariate generalized hyperbolic distributions studied by Barndorff-Nielsen (1977) [12] and others. Various points relevant to the study are also addressed through specific examples. © 2009 Elsevier Inc. All rights reserved. | en |
dc.source | Journal of Multivariate Analysis | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-72549111442&doi=10.1016%2fj.jmva.2009.09.018&partnerID=40&md5=a8e46c3f50d64f148091d187687975e9 | |
dc.subject | Multivariate generalized hyperbolic distributions | en |
dc.subject | Multivariate indecomposability | en |
dc.subject | Multivariate infinite divisibility | en |
dc.subject | Multivariate self-decomposability | en |
dc.subject | Stable distributions | en |
dc.title | Moment properties of multivariate infinitely divisible laws and criteria for multivariate self-decomposability | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.jmva.2009.09.018 | |
dc.description.volume | 101 | |
dc.description.issue | 3 | |
dc.description.startingpage | 500 | |
dc.description.endingpage | 511 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :2</p> | en |
dc.source.abbreviation | J.Multivariate Anal. | en |
dc.contributor.orcid | Sapatinas, Theofanis [0000-0002-6126-4654] | |
dc.gnosis.orcid | 0000-0002-6126-4654 |
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