On the Lévy Measure of the Lognormal and the LogCauchy Distributions

Lennart Bondesson ()
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Lennart Bondesson: Umeaå University

Methodology and Computing in Applied Probability, 2002, vol. 4, issue 3, 243-256

Abstract: Abstract The densities of the Lévy measure and the Thorin measure of the standard lognormal distribution are approximated and presented in graphs. Moreover, the behavior of these densities at 0 and ∞ is studied. Laplace and saddlepoint approximations are used. The infinite divisibility of the standard logCauchy distribution is given some attention in passing.

Keywords: infinite divisibility; Lévy measure; integral equation; generalized gamma convolution; Thorin measure; lognormal and logCauchy distribution; Poisson mixture; Laplace and saddlepoint approximation (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1022533817579

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