A characterization of subclasses of semi-selfdecomposable distributions by stochastic integral representations

Characterizations of the classes of selfdecomposable (semi-selfdecomposable, resp.) by a stochastic integral with respect to Lévy process (semi-Lévy process, resp.) are known. A similar characterization for the Urbanik–Sato nested subclasses of the class of selfdecomposable distributions is also kno...

Full description

Saved in:
Bibliographic Details
Published in:Statistics & probability letters 2007-04, Vol.77 (8), p.838-842
Main Authors: Maejima, Makoto, Miura, Manabu
Format: Article
Language:English
Subjects:
Distribution theory
Exact sciences and technology
General topics
Lévy process
Mathematics
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Selfdecomposable distribution
Selfdecomposable distribution Semi-selfdecomposable distribution Lévy process Semi-Lévy process Stochastic integral
Semi-Lévy process
Semi-selfdecomposable distribution
Statistics
Stochastic analysis
Stochastic integral
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Characterizations of the classes of selfdecomposable (semi-selfdecomposable, resp.) by a stochastic integral with respect to Lévy process (semi-Lévy process, resp.) are known. A similar characterization for the Urbanik–Sato nested subclasses of the class of selfdecomposable distributions is also known. In this paper, a characterization of the nested subclasses of the class of semi-selfdecomposable distributions is given in terms of stochastic integral with respect to semi-Lévy process.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2006.12.004