Cumulants of infinitely divisible distributions

被引:2
|
作者
Gupta, Arjun K. [1 ]
Shanbhag, Damodar N. [1 ]
Nguyen, Truc T. [1 ]
Chen, J. T. [1 ]
机构
[1] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA
关键词
Infinitely divisible distributions; self-decomposable distributions; Levy spectral measure; Kolmogorov spectral measure; mixtures of exponential distributions; generalized gamma convolution family; moments; cumulants;
D O I
10.1515/ROSE.2009.007
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this expository article, we provide a unified version of the literature on certain aspects of cumulants of infinitely divisible distributions. In view of the spectral representations corresponding to the distributions referred to, with appropriate modifications to standard arguments, it follows that the cumulants of these distributions possess some nice features. Giving several illustrative examples, we attempt to explain as to what these mean. Although the emphasis of the paper is on univariate distributions, we briefly touch upon the multivariate case to verify whether this latter case has something new to offer to us on the subject.
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页码:103 / 124
页数:22
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