A note on preservation of self-decomposability under geometric compounding

R. Szekli

Statistics & Probability Letters, 1988, vol. 6, issue 4, 231-236

Abstract: In this note Kolmogorov's canonical representations for geometric compounds of i.i.d. random variables are computed. Using this the geometric compounds of some self-decomposable (L-class) distributions are investigated. It is proved that the L-class is not closed under geometric compounding. Some nontrivial examples of self-decomposable distributions are given. Implications in queueing theory are pointed out.

Keywords: L-class; geometric; compounding; Kolmogorov's; formula; GI/G/1; queue (search for similar items in EconPapers)
Date: 1988
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