English

On the unimodality of power transformations of positive stable densities

Probability 2013-11-18 v3

Abstract

Let ZαZ_\alpha be a positive α\alpha-stable random variable and rR.r\in{\bf R}. We show the existence of an unbounded open domain DD in [1/2,1]×R[1/2,1]\times{\bf R} with a cusp at (1/2,1/2)(1/2,-1/2), characterized by the complete monotonicity of the function Fα,r(λ)=(αλαr)eλα/!/!,F_{\alpha, r} (\lambda) = (\alpha \lambda^\alpha -r)e^{-\lambda^\alpha}/!/! , such that ZαrZ_\alpha^r is unimodal if and only if (α,r)D.(\alpha, r)\notin D.

Keywords

Cite

@article{arxiv.1002.3813,
  title  = {On the unimodality of power transformations of positive stable densities},
  author = {Thomas Simon},
  journal= {arXiv preprint arXiv:1002.3813},
  year   = {2013}
}