Moment properties of multivariate infinitely divisible laws and criteria for multivariate self-decomposability

Ramachandran (1969) [9, Theorem 8] has shown that for any univariate infinitely divisible distribution and any positive real number α, an absolute moment of order α relative to the distribution exists (as a finite number) if and only if this is so for a certain truncated version of the corresponding Lévy measure. A generalized version of this result in the case of multivariate infinitely divisible distributions, involving the concept of g-moments, was given by Sato (1999) [6, Theorem 25.3]. We extend Ramachandran’s theorem to the multivariate case, keeping in mind the immediate requirements under appropriate assumptions of cumulant studies of the distributions referred to; the format of Sato’s theorem just referred to obviously varies from ours and seems to have a different agenda. Also, appealing to a further criterion based on the Lévy measure, we identify in a certain class of multivariate infinitely divisible distributions the distributions that are self-decomposable; this throws new light on structural aspects of certain multivariate distributions such as the multivariate generalized hyperbolic distributions studied by Barndorff-Nielsen (1977) [12] and others. Various points relevant to the study are also addressed through specific examples. © 2009 Elsevier Inc. All rights reserved.