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We show that the logarithms of gamma random variables are α-selfdecomposable, and apply the result to show that logarithms of several positive random variables are 1-selfdecomposable.
Persistent link: https://www.econbiz.de/10011039899
We prove that the multivariate Rosenblatt distribution belongs to the Thorin class which is a subset of the class of selfdecomposable distributions. Using this fact we derive new properties of the Rosenblatt distribution.
Persistent link: https://www.econbiz.de/10010664065