On Cauchy–Stieltjes kernel families

Włodek Bryc, Raouf Fakhfakh and Abdelhamid Hassairi

Journal of Multivariate Analysis, 2014, vol. 124, issue C, 295-312

Abstract: We explore properties of Cauchy–Stieltjes families that have no counterpart in exponential families. We relate the variance function of the iterated Cauchy–Stieltjes family to the pseudo-variance function of the initial Cauchy–Stieltjes family. We also investigate when the domain of means can be extended beyond the “natural domain”.

Keywords: Exponential families; Cauchy kernel; Free stable law (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2013.10.021

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