A contemporary review and bibliography of infinitely divisible distributions and processes

Bose, Arup ; Dasgupta, Anirban ; Rubin, Herman (2002) A contemporary review and bibliography of infinitely divisible distributions and processes Sankhya, 64 . pp. 763-819. ISSN 0972-7671

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Abstract

This article provides a modern review of univariate and multivariate stable and infinitely divisible distributions and processes. Various characterizations and properties of stable and infinitely divisible distributions, including tail, moment and independence properties, and methods of simulation from an infinitely divisible distribution are discussed. Also discussed is the currently popular problem of estimating the index of a stable law and more generally, the heaviness of the tail of a distribution in the domain of attraction of a given stable law. A special feature of this article is its large collection of illustrative examples and a table of Levy measures.

Item Type:Article
Source:Copyright of this article belongs to Indian Statistical Institute.
ID Code:5592
Deposited On:19 Oct 2010 11:49
Last Modified:16 May 2016 16:04

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