Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples

نویسندگان

  • Lancelot F. James
  • Bernard Roynette
  • Marc Yor
چکیده

• In Section 1, we present a number of classical results concerning the Generalized Gamma Convolution ( : GGC) variables, their Wiener-Gamma representations, and relation with the Dirichlet processes. • To a GGC variable, one may associate a unique Thorin measure. Let G a positive r.v. and Γt(G) ( resp. Γt(1/G) ) the Generalized Gamma Convolution with Thorin measure t-times the law of G (resp. the law of 1/G). In Section 2, we compare the laws of Γt(G) and Γt(1/G). • In Section 3, we present some old and some new examples of GGC variables, among which the lengths of excursions of Bessel processes straddling an independent exponential time. AMS 2000 subject classifications: Primary 60E07, 60E10, 60G51, 60G52, 60G57.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

ar X iv : m at h / 05 03 39 4 v 1 [ m at h . ST ] 1 9 M ar 2 00 5 BAYESIAN INFERENCE VIA CLASSES OF NORMALIZED RANDOM MEASURES

One of the main research areas in Bayesian Nonparametrics is the proposal and study of priors which generalize the Dirichlet process. Here we exploit theoretical properties of Poisson random measures in order to provide a comprehensive Bayesian analysis of random probabilities which are obtained by an appropriate normalization. Specifically we achieve explicit and tractable forms of the posteri...

متن کامل

18.781 (Spring 2016): Floor and arithmetic functions

2. Arithmetic functions 19 2.1. Arithmetic functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 2.2. Multiplicative functions . . . . . . . . . . . . . . . . . . . . . . . . . 22 2.3. The Dirichlet convolution . . . . . . . . . . . . . . . . . . . . . . . . 27 2.4. Examples of Dirichlet convolutions . . . . . . . . . . . . . . . . . . . 34 2.5. Möbius inversion . . . . . . . . . ....

متن کامل

O ct 2 00 6 Gamma Tilting Calculus for GGC and Dirichlet means withapplications to Linnik processes and Occupation Time Laws for

This paper explores various interfaces between the class of generalized gamma convolution (GGC) random variables, Dirichlet process mean functionals and phenomena connected to the local time and occupation time of p-skew Bessel processes and bridges discussed in Barlow, Pitman and Yor (1989), Pitman and Yor (1992, 1997b). First, some general calculus for GGC and Dirichlet process means func-tio...

متن کامل

New Dirichlet Mean Identities

Abstract: An important line of research is the investigation of the laws of random variables known as Dirichlet means as discussed in Cifarelli and Regazzini (7). However there is not much information on inter-relationships between different Dirichlet means. Here we introduce two distributional operations, which consist of multiplying a mean functional by an independent beta random variable and...

متن کامل

Dirichlet Mean Identities and Laws of a Class of Subordinators

An interesting line of research is the investigation of the laws of random variables known as Dirichlet means. However there is not much information on inter-relationships between different Dirichlet means. Here we introduce two distributional operations, which consist of multiplying a mean functional by an independent beta random variable and an operation involving an exponential change of mea...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2008