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On Mixtures of Gamma Distributions, Distributions with Hyperbolically Monotone Densities and Generalized Gamma Convolutions (GGC)
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.ORCID iD: 0000-0001-8075-9129
2019 (English)In: Probability and Mathematical Statistics, ISSN 0208-4147Article in journal (Refereed) Accepted
Abstract [en]

Let Y be a standard Gamma(k) distributed random variable (rv), k > 0, and let X be an independent positive rv. If X has a hyperbolically monotone density of order k (HMk), then Y ·X and Y/X are generalized gamma convolutions (GGC). This extends work by Roynette et al. and Behme and Bondesson. The same conclusion holds with Y replaced by a finite sum of independent gamma variables with sum of shape parameters at most k. Both results are applied to subclasses of GGC.

Place, publisher, year, edition, pages
University of Wroclaw, Poland , 2019.
Keywords [en]
Gamma distribution, hyperbolically monotone function, Laplace transform, generalized gamma convolution (GGC)
National Category
Natural Sciences
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:umu:diva-165255ISRN: ISSN 0208-4147DOI: 10.19195/0208-4147.0.0.0OAI: oai:DiVA.org:umu-165255DiVA, id: diva2:1370835
Available from: 2019-11-18 Created: 2019-11-18 Last updated: 2019-11-19

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Sjödin, Tord

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CiteExportLink to record
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Citation style
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