Inversion of Analytic Characteristic Functions and Infinite Convolutions of Exponential and Laplace Densities

Albert Ferreiro-Castilla () and Frederic Utzet ()
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Albert Ferreiro-Castilla: Centre de Recerca Matemàtica
Frederic Utzet: Universitat Autònoma de Barcelona

Journal of Theoretical Probability, 2012, vol. 25, issue 1, 205-230

Abstract: Abstract We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that type has a density which can be expressed as a generalized Dirichlet series, which in turn is an infinite linear combination of exponential or Laplace densities. These results are applied to several examples.

Keywords: Infinite convolutions; Characteristic function; Entire functions; 60E10; 60G50 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10959-010-0313-8

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