A note on G-normal distributions

Yongsheng Song

Statistics & Probability Letters, 2015, vol. 106, issue C, 142-146

Abstract: As is known, the convolution μ∗ν of two G-normal distributions μ,ν with different intervals of variances may not be G-normal. We show that μ∗ν is a G-normal distribution if and only if σ¯μσ¯μ=σ¯νσ¯ν.

Keywords: G-normal distribution; Cramer’s decomposition (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.07.014

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