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February 2006 Which multivariate gamma distributions are infinitely divisible?
Philippe Bernardoff
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Bernoulli 12(1): 169-189 (February 2006).

Abstract

We define a multivariate gamma distribution on R n by its Laplace transform ( P( -θ ) ) - λ , λ >0, where

P ( θ )= T { 1,,n }p T i Tθ i .

Under p { 1,,n } 0 , we establish necessary and sufficient conditions on the coefficients of P , such that the above function is the Laplace transform of some probability distribution, for all λ >0, thus characterizing all infinitely divisible multivariate gamma distributions on R n .

Citation

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Philippe Bernardoff. "Which multivariate gamma distributions are infinitely divisible?." Bernoulli 12 (1) 169 - 189, February 2006.

Information

Published: February 2006
First available in Project Euclid: 28 February 2006

zbMATH: 1101.60008
MathSciNet: MR2202328

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability

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Vol.12 • No. 1 • February 2006
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