On Lévy measures for infinitely divisible natural exponential families

Célestin C. Kokonendji and Mohamed Khoudar

Statistics & Probability Letters, 2006, vol. 76, issue 13, 1364-1368

Abstract: We link the infinitely divisible measure [mu] to its modified Lévy measure [rho]=[rho]([mu]) in terms of their variance functions, where x-2[[rho](dx)-[rho]({0})[delta]0(dx)] is the Lévy measure associated with [mu]. We deduce that, if the variance function of [mu] is a polynomial of degree p[greater-or-equal, slanted]2, then, the variance function of [rho] is still a second degree polynomial. We illustrate these results with some Lévy processes such as positive stable and a class of Poisson stopped-sum processes.

Keywords: Compound; Poisson; process; Laplace; transform; Lévy; process; Stable; process; Variance; function (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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