Abstract
The class of type G distributions on ℝd and its nested subclasses are studied. An analytic characterization in terms of Lévy measures for the class of type G distributions is known. In this paper, probabilistic characterizations by stochastic integral representations for all classes are shown, and analytic characterizations for the nested subclasses are given in terms of Lévy measures.
| Original language | English |
|---|---|
| Pages (from-to) | 148-160 |
| Number of pages | 13 |
| Journal | Bernoulli |
| Volume | 13 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2007 |
| Externally published | Yes |
Keywords
- Infinitely divisible distribution on ℝR
- Lévy process
- Stochastic integral representation
- Type G distribution
ASJC Scopus subject areas
- Statistics and Probability