CERTAIN PROBABILISTIC ASPECTS OF SEMISTABLE LAWS

MAKOTO MAEJIMA1 AND GENNADY SAMORODNITSKY2

1 Department of Mathematics, Keio University, 3-14-1, Hiyoshi,
Kohoku-ku, Yokohama 223-8522, Japan
2 School of Operations Research and Industrial Engineering and
Department of Statistical Science, Cornell University, Ithaca, NY 14853, U.S.A.

(Received January 22, 1998; revised April 30, 1998)

Abstract.    We study the extent to which the property of semistability of a random vector in Rd is determined by semistability of its marginals, and the place of semistable laws within the family of type G and sub-stable laws. Similarities and differences between stable and semistable laws are discussed.

Key words and phrases:    Semistable distribution, type G distribution, infinitely divisible distribution, stable distribution.

Source ( TeX , DVI , PS )