On a class of distributions stable under random summation
Abstract
We investigate a family of distributions having a property of stability-under-addition, provided that the number of added-up random variables in the random sum is also a random variable. We call the corresponding property a \,-stability and investigate the situation with the semigroup generated by the generating function of is commutative. Using results from the theory of iterations of analytic functions, we show that the characteristic function of such a -stable distribution can be represented in terms of Chebyshev polynomials, and for the case of -normal distribution, the resulting characteristic function corresponds to the hyperbolic secant distribution. We discuss some specific properties of the class and present particular examples.
Cite
@article{arxiv.1008.3150,
title = {On a class of distributions stable under random summation},
author = {L. B. Klebanov and A. V. Kakosyan and S. T. Rachev and G. Temnov},
journal= {arXiv preprint arXiv:1008.3150},
year = {2010}
}
Comments
12 pages, 1 figure