Institute of Mathematical Statistics Lecture Notes - Monograph Series

Weak stability and generalized weak convolution for random vectors and stochastic processes

Jolanta K. Misiewicz

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Abstract

A random vector ${\bf X}$ is weakly stable iff for all $a,b \in \mathbb{R}$ there exists a random variable $\Theta$ such that $a{\bf X} + b {\bf X}' \stackrel{d}{=} {\bf X} \Theta$. This is equivalent (see \cite{MOU}) with the condition that for all random variables $Q_1, Q_2$ there exists a random variable $\Theta$ such that $${\bf X} Q_1 + {\bf X}' Q_2 \stackrel{d}{=} {\bf X} \Theta, %% \eqno{(\ast)}$$ where ${\bf X}, {\bf X}', Q_1, Q_2, \Theta$ are independent. In this paper we define generalized convolution of measures defined by the formula $${\cal L}(Q_1) \oplus_{\mu} {\cal L}(Q_2) = {\cal L}(\Theta),$$ if the equation $(\ast)$ holds for ${\bf X}, Q_1, Q_2, \Theta$ and $\mu = {\cal L}(\Theta)$. We study here basic properties of this convolution, basic properties of $\oplus_{\mu}$-infinitely divisible distributions, $\oplus_{\mu}$-stable distributions and give a series of examples.

Chapter information

Source
Dee Denteneer, Frank den Hollander, Evgeny Verbitskiy, eds., Dynamics & Stochastics: Festschrift in honor of M. S. Keane (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2006), 109-118

Dates
First available in Project Euclid: 28 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196285813

Digital Object Identifier
doi:10.1214/074921706000000149

Mathematical Reviews number (MathSciNet)
MR2306193

Zentralblatt MATH identifier
1124.60003

Subjects
Primary: 60A10: Probabilistic measure theory {For ergodic theory, see 28Dxx and 60Fxx} 60B05: Probability measures on topological spaces 60E05: Distributions: general theory 60E07: Infinitely divisible distributions; stable distributions 60E10: Characteristic functions; other transforms

Keywords
weakly stable distribution symmetric stable distribution scale mixture

Rights
Copyright © 2006, Institute of Mathematical Statistics

Citation

Misiewicz, Jolanta K. Weak stability and generalized weak convolution for random vectors and stochastic processes. Dynamics & Stochastics, 109--118, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2006. doi:10.1214/074921706000000149. https://projecteuclid.org/euclid.lnms/1196285813


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