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Convolution-invariant subclasses of generalized hyperbolic distributions

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Author

Summary, in English

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.

Publishing year

2016

Language

English

Pages

98-103

Publication/Series

Communications in Statistics: Theory and Methods

Volume

45

Issue

1

Document type

Journal article

Publisher

Marcel Dekker

Topic

  • Probability Theory and Statistics

Keywords

  • Bessel function distribution
  • Gamma variance normal mixture
  • Generalized
  • inverse Gaussian distribution
  • Generalized asymmetric Laplace
  • distribution
  • Inverse gamma distribution
  • Variance-mean normal mixture

Status

Published

ISBN/ISSN/Other

  • ISSN: 0361-0926