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The product of independent random variables with slowly varying truncated moments

Part of: Distribution theory - Probability Limit theorems

Published online by Cambridge University Press:  09 April 2009

Takaaki Shimura
Takaaki Shimura
Affiliation:
The Institute of Statistical Mathematics4-6-7 Minami-Azabu Minato-Ku Tokyo 106Japan e-mail: [email protected]. jp
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Abstract

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The Mellin-Stieltjes convolution and related decomposition of distributions in M(α) (the class of distributions μ on (0, ∞) with slowly varying αth truncated moments ) are investigated. Maller shows that if X and Y are independent non-negative random variables with distributions μ and v, respectively, and both μ and v are in D2, the domain attraction of Gaussian distribution, then the distribution of the product XY (that is, the Mellin-Stieltjes convolution μ ^ v of μ and v) also belongs to it. He conjectures that, conversely, if μ ∘ v belongs to D2, then both μ and v are in it. It is shown that this conjecture is not true: there exist distributions μ ∈ D2 and v μ ∈ D2 such that μ ^ v belongs to D2. Some subclasses of D2 are given with the property that if μ ^ v belongs to it, then both μ and v are in D2.

Keywords

domain of attractiontruncated momentslowly varying functionregular variationMellin-Stieltjes convolution

MSC classification

Secondary: 60E05: Distributions 60E07: Infinitely divisible distributions; stable distributions 60F05: Central limit and other weak theorems
Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 62 , Issue 2 , April 1997 , pp. 186 - 197
Copyright
Copyright © Australian Mathematical Society 1997

References

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