We characterize the second order subexponentiality of an infinitely divisible distribution on the real line under an exponential moment assumption. We investigate the asymptotic behaviour of the difference between the tails of an infinitely divisible distribution and its Lévy measure. Moreover, we study the second order asymptotic behaviour of the tail of the $t$-th convolution power of an infinitely divisible distribution. The density version for a self-decomposable distribution on the real line without an exponential moment assumption is also given. Finally, the regularly varying case for a self-decomposable distribution on the half line is discussed.
We completely characterize $Δ$- and local subexponentialities of positive-half compound Poisson distributions and extend the characterization on two-sided distributions. Moreover, $Δ$-subexponentiality of infinitely divisible distributions is characterized with new conditions, and local subexponentiality is newly characterized in the two-sided case. In the process closedness properties of these subexponentialities are derived, particularly for distributions on $\R$. Most results are obtained by exploiting monotonic-type assumptions. We apply our results to distributions of supremum of a random…
We show the equivalence of three properties for an infinitely divisible distribution: the subexponentiality of the density, the subexponentiality of the density of its Lévy measure and the tail equivalence between the density and its Lévy measure density, under monotonic-type assumptions on the Lévy measure density. The key assumption is that tail of the Lévy measure density is asymptotic to a non-increasing function or is eventually non-increasing. Our conditions are novel and cover a rather wide class of infinitely divisible distributions. Several significant properties for analyzing the sub…
The object of this paper is to introduce and study the concept of quasi-geometric infinite divisibility for distributions on $\bf R_+$. These distributions arise as mixing distributions of (discrete) geometric infinitely divisible Poisson mixtures. Several characterizations and closure properties are presented. A connection between quasi-geometric infinite divisibility and log-convex (log-concave) distributions is established. A generalized notion of quasi-infinite divisibility is also discussed.
With the help of the Gauss-Laplace transform for the exit time from a cone of planar Brownian motion, we obtain some infinite divisibility properties for the reciprocal of this exit time.
We consider random fields that can be represented as integrals of deterministic functions with respect to infinitely divisible random measures and show that these random fields are infinitely divisible.
Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility is presented as well as more easily verifiable sufficient conditions. The case where both components consist of a sum of two Gaussian squares is treated in more depth, and it is conjectured that such vectors are infinitely divisible.
We state some inequalities for m-divisible and infinite divisible characteristic functions. Basing on them we propose a statistical test for a distribution to be infinitely divisible. Keywords: infinite divisible distributions; statistical tests.
Multivariate discrete probability laws are considered. We show that such laws are quasi-infinitely divisible if and only if their characteristic functions are separated from zero. We generalize the existing results for the univariate discrete laws and for the multivariate laws on $\mathbb{Z}^d$. The Cramér-Wold devices for infinite and quasi-infinite divisibility were proved.
We consider arbitrary discrete probability laws on the real line. We obtain a criterion of their belonging to a new class of quasi-infinitely divisible laws, which is a wide natural extension of the class of well known infinitely divisible laws through the Lévy type representations.
Here we give a necessary and sufficient condition for the convergence to a random max infinitely divisible law from that of a random maximum. We then discuss random max-stable laws, their domain of max-attraction and the associated extremal processes.
The notion of geometric version of an infinitely divisible law is introduced. Concepts parallel to attraction and partial attraction are developed and studied in the setup of geometric summing of random variables.
We show that a Cramér--Wold device holds for infinite divisibility of $\mathbb{Z}^d$-valued distributions, i.e. that the distribution of a $\mathbb{Z}^d$-valued random vector $X$ is infinitely divisible if and only if $\mathcal{L}(a^T X)$ is infinitely divisible for all $a\in \mathbb{R}^d$, and that this in turn is equivalent to infinite divisibility of $\mathcal{L}(a^T X)$ for all $a\in \mathbb{N}_0^d$. A key tool for proving this is a Lévy--Khintchine type representation with a signed Lévy measure for the characteristic function of a $\mathbb{Z}^d$-valued distribution, provided the character…
A complete characterization of Wishart distributions on the cones of positive semi-definite matrices is provided in terms of a description of their maximal parameter domain. This result is new in that also degenerate scale parameters are included. For such cases, the standard constraints on the range of the shape parameter may be relaxed. Furthermore, the infinitely divisible Wishart distributions are revealed as suitable transformations and embeddings of one dimensional gamma distributions. This note completes the findings of Lévy (1937) concerning infinite divisibility and Gindikin (1975) re…
In this note we prove that, for infinitely divisible laws, convergence of the fourth moment to 3 is sufficient to ensure convergence in law to the Gaussian distribution. Our results include infinitely divisible measures with respect to classical, free, Boolean and monotone convolution. A similar criterion is proved for compound Poissons with jump distribution supported on a finite number of atoms. In particular, this generalizes recent results of Nourdin and Poly.
We consider the infinite divisibility of distributions of some well-known inverse subordinators. Using a tail probability bound, we establish that distributions of many of the inverse subordinators used in the literature are not infinitely divisible. We further show that the distribution of a renewal process time-changed by an inverse stable subordinator is not infinitely divisible, which in particular implies that the distribution of the fractional Poisson process is not infinitely divisible.
We give an estimate for the Kolmogorov distance between an infinitely divisible distribution (with mean zero and variance one) and the standard Gaussian distribution in terms of the difference between the fourth moment and 3. In a similar fashion we give an estimate for the Kolmogorov distance between a freely infinitely divisible distribution and the Semicircle distribution in terms of the difference between the fourth moment and 2.
We consider distributions on $\mathbb{R}$ that can be written as the sum of a non-zero discrete distribution and an absolutely continuous distribution. We show that such a distribution is quasi-infinitely divisible if and only if its characteristic function is bounded away from zero, thus giving a new class of quasi-infinitely divisible distributions. Moreover, for this class of distributions we characterize the existence of the $g$-moment for certain functions $g$.
The role of geometrically infinitely divisible laws in renewal equations and superposition of renewal processes are explored here. Some examples are also discussed.
We completely determine the free infinite divisibility for the Boolean stable law which is parametrized by a stability index $α$ and an asymmetry coefficient $ρ$. We prove that the Boolean stable law is freely infinitely divisible if and only if one of the following conditions holds: $0<α\leq\frac{1}{2}$; $\frac{1}{2}<α\leq\frac{2}{3}$ and $2-\frac{1}α\leqρ\leq \frac{1}α-1$; $α=1,~ρ=\frac{1}{2}$. Positive Boolean stable laws corresponding to $ρ=1$ and $α\leq \frac{1}{2}$ have completely monotonic densities and they are both freely and classically infinitely divisible. We also show that continu…
We show that all negative powers B_{a,b}^-{s} of the Beta distribution are infinitely divisible. The case b<1 follows by complete monotonicity, the case b > 1, s > 1 by hyperbolically complete monotonicity and the case b > 1, s < 1 by a Lévy perpetuity argument involving the hypergeometric series. We also observe that B_{a,b}^{-s} is self-decomposable whenever 2a + b + s + bs > 1, and that it is not always a generalized Gamma convolution. On the other hand, we prove that all negative powers of the Gamma distribution are generalized Gamma convolutions, answering to a recent question of L. Bonde…
We study free infinite divisibility (FID) for a class which is called generalized power distributions with free Poisson term by using a complex analytic technique and a calculation for the free cumulants and Hankel determinants. In particular, our main result implies that (i) if $X$ follows the free Generalized Inverse Gaussian distribution, then $X^r$ follows an FID distribution when $|r|\ge1$, (ii) if $S$ follows the standard semicircle law and $u\ge 2$, then $(S+u)^r$ follows an FID distribution when $r\le -1$, and (iii) if $B_p$ follows the beta distribution with parameters $p$ and $3/2$, …
We prove that the integral powers of the semicircular distribution are freely infinitely divisible. As a byproduct we get another proof of the free infnite divisibility of the classical Gaussian distribution.
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.) $F$ (on $\RR$, the real line), satisfying $F(0-) = 0$ and $F(x) = F(0) + (1-F(0)) G(x)$, $x > 0$, where $G$ 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 ${p_x: x= 0,1, ...}$ that is log-convex or, …
Let $G=(G_{1},G_{2})$ be a Gaussian vector in $R^{2}$ with $EG_{1}G_{2}\neq 0$. Let $c_{1},c_{2}\in R^{1}$. A necessary and sufficient condition for $G=((G_{1}+c_{1}α)^{2},(G_{2}+c_{2}α)^{2})$ to be infinitely divisible for all $α\in R^{1}$ is that \[ \Ga_{i,i}\geq \frac{c_{i}}{c_{j}}\Ga_{i,j}>0\qquad\forall 1\le i\ne j\le 2.\] In this paper we show that when this does not hold there exists an $0<α_{0}<\ff $ such that $G=((G_{1}+c_{1}α)^{2},(G_{2}+c_{2}α)^{2})$ is infinitely divisible for all $|α|\leq α_{0}$ but not for any $|\al|>\al_{0}$.
We find necessary and sufficient conditions for the free additive infinite divisibility of some free multiplicative convolutions with the Wigner, the arcsine, the free Poisson and other distributions, including explicit examples.
We use the theory of fully matricial, or non-commutative, functions to investigate infinite divisibility and limit theorems in operator-valued non-commutative probability. Our main result is an operator-valued analogue of the Bercovici-Pata bijection. An important tool is Voiculescu's subordination property for operator-valued free convolution.
We prove that many of beta, beta prime, gamma, inverse gamma, Student t- and ultraspherical distributions are freely infinitely divisible, but some of them are not. The latter negative result follows from a local property of probability density functions. Moreover, we show that the Gaussian, ultraspherical and many of Student t-distributions have free divisibility indicator 1.
A random vector ${\bf X}$ is weakly stable iff for all $a,b \in \mathbb{R}$ there exists a random variable $Θ$ such that $a{\bf X} + b {\bf X}' \stackrel{d}{=} {\bf X} Θ$, where $X'$ is an independent copy of $X$ and $Θ$ is independent of $X$. This is equivalent (see [12]) with the condition that for all random variables $Q_1, Q_2$ there exists a random variable $Θ$ such that $$ {\bf X} Q_1 + {\bf X}' Q_2 \stackrel{d}{=} {\bf X} Θ, \quad \quad \quad \quad \quad (\ast) $$ where ${\bf X}, {\bf X}', Q_1, Q_2, Θ$ are independent. In this paper we define weak generalized convolution of measures def…
We prove that symmetric Meixner distributions, whose probability densities are proportional to $|Γ(t+ix)|^2$, are freely infinitely divisible for $0<t\leq\frac{1}{2}$. The case $t=\frac{1}{2}$ corresponds to the law of Lévy's stochastic area whose probability density is $\frac{1}{\cosh(πx)}$. A logistic distribution, whose probability density is proportional to $\frac{1}{\cosh^2(πx)}$, is freely infinitely divisible too.
Continuing the study reported in Satheesh (2001),(math.PR/0304499 dated 01 May 2003) and Satheesh (2002)(math.PR/0305030 dated 02May 2003), here we study generalizations of infinitely divisible (ID) and max-infinitely divisible (MID) laws. We show that these generalizations appear as limits of random sums and random maximums respectively. For the random sample size N, we identify a class of probability generating functions. Necessary and sufficient conditions that implies the convergence to an ID (MID) law by the convergence to these generalizations and vise versa are given. The results genera…
We study the multiplicative convolution for c-monotone independence. This convolution unifies the monotone, Boolean and orthogonal multiplicative convolutions. We characterize convolution semigroups for the c-monotone multiplicative convolution on the unit circle. We also prove that an infinitely divisible distribution can always be embedded in a convolution semigroup. We furthermore discuss the (non)-uniqueness of such embeddings including the monotone case. Finally connections to the multiplicative Boolean convolution are discussed.
Investigates the size of the perturbation to the zero mean three dimensional Gaussian vector with infinitely divisible squares so that the infinite divisibility is retained.
With $X^*$ denoting a random variable with the $X$-size bias distribution, what are all distributions for $X$ such that it is possible to have $X^*=X+Y$, $Y\geq 0$, with $X$ and $Y$ {\em independent}? We give the answer, due to Steutel \cite{steutel}, and also discuss the relations of size biasing to the waiting time paradox, renewal theory, sampling, tightness and uniform integrability, compound Poisson distributions, infinite divisibility, and the lognormal distributions.
Properties of the law $μ$ of the integral $\int_0^{\infty}c^{-N_{t-}}\,dY_t$ are studied, where $c>1$ and $\{(N_t,Y_t),t\geq0\}$ is a bivariate Lévy process such that $\{N_t\}$ and $\{Y_t\}$ are Poisson processes with parameters $a$ and $b$, respectively. This is the stationary distribution of some generalized Ornstein--Uhlenbeck process. The law $μ$ is parametrized by $c$, $q$ and $r$, where $p=1-q-r$, $q$, and $r$ are the normalized Lévy measure of $\{(N_t,Y_t)\}$ at the points $(1,0)$, $(0,1)$ and $(1,1)$, respectively. It is shown that, under the condition that $p>0$ and $q>0$, $μ_{c,q,r}$…
The goal of this work is to decompose random populations with a genealogy in subfamilies of a given degree of kinship and to obtain a notion of infinitely divisible genealogies. We model the genealogical structure of a population by (equivalence classes of) ultrametric measure spaces (um-spaces) as elements of the Polish space U which we recall. In order to then analyze the family structure in this coding we introduce an algebraic structure on um-spaces (a consistent collection of semigroups). This allows us to obtain a path of collections of subfamilies of fixed kinship h (described as ultram…
Let D be the space of non-commutative distributions of k-tuples of selfadjoints in a C*-probability space (for a fixed k). We introduce a semigroup of transformations B_t of D, such that every distribution in D evolves under the B_t towards infinite divisibility with respect to free additive convolution. The very good properties of B_t come from some special connections that we put into evidence between free additive convolution and the operation of Boolean convolution. On the other hand we put into evidence a relation between the transformations B_t and free Brownian motion. More precisely, w…
Let $B$ be a finite, separable von Neumann algebra. We prove that a $B$-valued distribution $μ$ that is the weak limit of an infinitesimal array is infinitely divisible. The proof of this theorem utilizes the Steinitz lemma and may be adapted to provide a nonstandard proof of this type of theorem for various other probabilistic categories. We also develop weak topologies for this theory and prove the corresponding compactness and convergence results.
Let $a(1) >0$, $a(n) \ge 0$ for $n \ge 2$ and $a(n) = O(n^\varepsilon)$ for any $\varepsilon >0$, and put $Z(σ+ it):= \sum_{n=1}^\infty a(n) n^{-σ- it}$ where $σ, t \in {\mathbb{R}}$. In the present paper, we show that any zeta distribution whose characteristic function is defined by ${\mathcal{Z}}_σ(t) :=Z(σ+ it)/Z(σ)$ is pretended infinitely divisible if $σ>1$ is sufficiently large. Moreover, we prove that if ${\mathcal{Z}}_σ(t)$ is an infinitely divisible characteristic function for some $σ_{id} >1$, then ${\mathcal{Z}}_σ(t)$ is infinitely divisible for all $σ>1$. Note that the correspondin…
The drawbacks in the formulations of random infinite divisibility in Sandhya (1991, 1996), Gnedenko and Korelev (1996), Klebanov and Rachev (1996), Bunge (1996) and Kozubowski and Panorska (1996) are pointed out. For any given Laplace transform, we conceive random (N) infinite divisibility w.r.t a class of probability generating functions derived from the Laplace transform itself. This formulation overcomes the said drawbacks, and the class of probability generating functions is useful in transfer theorems for sums and maximums in general. Generalizing the concepts of attraction (and partial a…
The class of R-diagonal *-distributions is fairly well understood in free probability. In this class, we consider the concept of infinite divisibility with respect to the operation $\boxplus$ of free additive convolution. We exploit the relation between free probability and the parallel (and simpler) world of Boolean probability. It is natural to introduce the concept of an eta-diagonal distribution that is the Boolean counterpart of an R-diagonal distribution. We establish a number of properties of eta-diagonal distributions, then we examine the canonical bijection relating eta-diagonal distr…
The classical infinite divisibility of distributions related to eigenvalues of some random matrix ensembles is investigated. It is proved that the $β$-Tracy-Widom distribution, which is the limiting distribution of the largest eigenvalue of a $β$-Hermite ensemble, is not infinitely divisible. Furthermore, for each fixed $N \ge 2$ it is proved that the largest eigenvalue of a GOE/GUE random matrix is not infinitely divisible.
We prove that $X^r$ follows an FID distribution if: (1) $X$ follows a free Poisson distribution without an atom at 0 and $r\in(-\infty,0]\cup[1,\infty)$; (2) $X$ follows a free Poisson distribution with an atom at 0 and $r\geq1$; (3) $X$ follows a mixture of some HCM distributions and $|r|\geq1$; (4) $X$ follows some beta distributions and $r$ is taken from some interval. In particular, if $S$ is a standard semicircular element then $|S|^r$ is freely infinitely divisible for $r\in(-\infty,0]\cup[2,\infty)$. Also we consider the symmetrization of the above probability measures, and in particula…
We provide the increasing eigenfunctions associated to spectrally negative self-similar Feller semigroups, which have been introduced by Lamperti. These eigenfunctions are expressed in terms of a new family of power series which includes, for instance, the modified Bessel functions of the first kind and some generalizations of the Mittag-Leffler function. Then, we show that some specific combinations of these functions are Laplace transforms of self-decomposable or infinitely divisible distributions concentrated on the positive line with respect to the main argument, and, more surprisingly, wi…
An essential character for a distribution to play a central role in the limit theory is infinite divisibility. In this note, we prove that the Conway-Maxwell-Poisson (CMP) distribution is infinitely divisible iff it is the Poisson or geometric distribution. This explains that, despite its applications in a wide range of fields, there is no theoretical foundation for the CMP distribution to be a natural candidate for the law of small numbers.
A probability distribution is n-divisible if its nth convolution root exists. While modeling the dependence structure between several (re)insurance losses by an additive risk factor model, the infinite divisibility, that is the $n$-divisibility for all $n \in\mathbb N$, is a very desirable property. Moreover, the capacity to compute the distribution of a piece (i.e., a convolution root) is also desirable. Unfortunately, if many useful distributions are infinitely divisible, computing the distributions of their pieces is usually a challenging task that requires heavy numerical computations. How…
This paper proves that if a discrete distribution is infinitely divisible (ID) with integer-valued components, then it has a mass at the origin, which also implies why certain ID discrete laws do not have gaps in its support. We argue that discrete laws also can be stable and such laws do have domain of attraction. Then we give certain recent developments and references not reported in the Bose Dasgupta Rubin (2002) review in Sankhya, and some examples in the topics; infinite divisibility and stability of discrete laws, random infinite divisibility, operator stable laws, class-L laws, Goldie-S…
We give necessary and sufficient conditions for existence and infinite divisibility of $α$-determinantal processes. For that purpose we use results on negative binomial and ordinary binomial multivariate distributions.
