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

Albert Ferreiro-Castilla, Frederic Utzet

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

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. © 2010 Springer Science+Business Media, LLC.
Original languageEnglish
Pages (from-to)205-230
JournalJournal of Theoretical Probability
Volume25
Issue number1
DOIs
Publication statusPublished - 1 Mar 2012

Keywords

  • Characteristic function
  • Entire functions
  • Infinite convolutions

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