Convolution-invariant subclasses of generalized hyperbolic distributions
(2016) In Communications in Statistics: Theory and Methods 45(1). p.98-103- Abstract
- It is rigorously shown that the generalized Laplace distributions and the normal inverse Gaussian distributions are the only subclasses of the generalized hyperbolic distributions that are closed under convolution. The result is obtained by showing that the corresponding two classes of variance mixing distributionsgamma and inverse Gaussianare the only convolution-invariant classes of the generalized inverse Gaussian distributions.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8761286
- author
- Podgorski, Krzysztof LU and Wallin, Jonas LU
- organization
- publishing date
- 2016
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Bessel function distribution, Gamma variance normal mixture, Generalized, inverse Gaussian distribution, Generalized asymmetric Laplace, distribution, Inverse gamma distribution, Variance-mean normal mixture
- in
- Communications in Statistics: Theory and Methods
- volume
- 45
- issue
- 1
- pages
- 98 - 103
- publisher
- Marcel Dekker
- external identifiers
-
- wos:000367801300008
- scopus:84953790635
- ISSN
- 0361-0926
- DOI
- 10.1080/03610926.2013.821489
- language
- English
- LU publication?
- yes
- id
- 31af12d1-11bc-49c0-929a-081f8aed31be (old id 8761286)
- date added to LUP
- 2016-04-01 14:46:22
- date last changed
- 2022-02-19 20:47:02
@article{31af12d1-11bc-49c0-929a-081f8aed31be, abstract = {{It is rigorously shown that the generalized Laplace distributions and the normal inverse Gaussian distributions are the only subclasses of the generalized hyperbolic distributions that are closed under convolution. The result is obtained by showing that the corresponding two classes of variance mixing distributionsgamma and inverse Gaussianare the only convolution-invariant classes of the generalized inverse Gaussian distributions.}}, author = {{Podgorski, Krzysztof and Wallin, Jonas}}, issn = {{0361-0926}}, keywords = {{Bessel function distribution; Gamma variance normal mixture; Generalized; inverse Gaussian distribution; Generalized asymmetric Laplace; distribution; Inverse gamma distribution; Variance-mean normal mixture}}, language = {{eng}}, number = {{1}}, pages = {{98--103}}, publisher = {{Marcel Dekker}}, series = {{Communications in Statistics: Theory and Methods}}, title = {{Convolution-invariant subclasses of generalized hyperbolic distributions}}, url = {{http://dx.doi.org/10.1080/03610926.2013.821489}}, doi = {{10.1080/03610926.2013.821489}}, volume = {{45}}, year = {{2016}}, }