Some new approaches to infinite divisibility
Abstract
Using an approach based, amongst other things, on Proposition 1 of Kaluza (1928), Goldie (1967) and, using a different approach based especially on zeros of polynomials, Steutel (1967) have proved that each nondegenerate distribution function (d.f.) (on , the real line), satisfying and , , where is the d.f. corresponding to a mixture of exponential distributions, is infinitely divisible. Indeed, Proposition 1 of Kaluza (1928) implies that any nondegenerate discrete probability distribution that is log-convex or, in particular, completely monotone, is compound geometric, and, hence, infinitely divisible. Steutel (1970), Shanbhag & Sreehari (1977) and Steutel & van Harn (2004, Chapter VI) have given certain extensions or variations of one or more of these results. Following a modified version of the C.R. Rao et al. (2009, Section 4) approach based on the Wiener-Hopf factorization, we establish some further results of significance to the literature on infinite divisibility.
Cite
@article{arxiv.1109.5600,
title = {Some new approaches to infinite divisibility},
author = {Theofanis Sapatinas and Damodar N. Shanbhag and Arjun K. Gupta},
journal= {arXiv preprint arXiv:1109.5600},
year = {2011}
}
Comments
18 pages, no figures, To appear in the Electronic Journal of Probability