On a class of distributions stable under random summation
Abstract
We investigate a family of distributions having a property of stability-under-addition, provided that the number $\nu$ of added-up random variables in the random sum is also a random variable. We call the corresponding property a \,$\nu$-stability and investigate the situation with the semigroup generated by the generating function of $\nu$ is commutative. Using results from the theory of iterations of analytic functions, we show that the characteristic function of such a $\nu$-stable distribution can be represented in terms of Chebyshev polynomials, and for the case of $\nu$-normal distribution, the resulting characteristic function corresponds to the hyperbolic secant distribution. We discuss some specific properties of the class and present particular examples.
- Publication:
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arXiv e-prints
- Pub Date:
- August 2010
- DOI:
- 10.48550/arXiv.1008.3150
- arXiv:
- arXiv:1008.3150
- Bibcode:
- 2010arXiv1008.3150K
- Keywords:
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- Mathematics - Probability;
- Statistics - Methodology;
- 60E07;
- 60E10;
- 62E10
- E-Print:
- 12 pages, 1 figure