Convolution-invariant subclasses of generalized hyperbolic distributions

• It is rigorously shown that the generalized Laplace distributions and the normal inverse Gaussian distributions are the only subclasses of the generalized hyperbolic distributions that are closed under convolution. The result is obtained by showing that the corresponding two classes of variance mixing distributionsgamma and inverse Gaussianare the only convolution-invariant classes of the generalized inverse Gaussian distributions.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Bessel function distribution

Gamma variance normal mixture

Generalized

inverse Gaussian distribution

Generalized asymmetric Laplace

distribution

Inverse gamma distribution

Variance-mean normal mixture

Publikations- och innehållstyp

art (ämneskategori)

ref (ämneskategori)