On univariate and bivariate generalized gamma convolutions

DOI10.1016/j.jspi.2009.05.015zbMath1171.60306OpenAlexW1994222927MaRDI QIDQ840725

Lennart Bondesson

Publication date: 14 September 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.05.015

zbMATH Keywords

generalized gamma convolutionbivariate gamma distributionhyperbolic complete monotonicity (HCM)shot-noise models

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probability distributions: general theory (60E05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (9)

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ A proof of Bondesson's conjecture on stable densities ⋮ A bimatrix variate gamma distribution ⋮ A class of probability distributions that is closed with respect to addition as well as multiplication of independent random variables ⋮ Further examples of GGC and HCM densities ⋮ Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions ⋮ Self-decomposability of weak variance generalised gamma convolutions ⋮ Estimation of multivariate generalized gamma convolutions through Laguerre expansions ⋮ On Doney's striking factorization of the arc-sine law

Cites Work

• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Generalized gamma convolutions and complete monotonicity
• Generalized gamma convolutions and related classes of distributions and densities
• An introduction to copulas. Properties and applications
• The life and work of Olof Thorin (1912–2004)
• On the infinite divisibility of the lognormal distribution
• ON CORRELATION FUNCTIONS OF TYPE III
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