Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples
| dc.creator | James, Lancelot F. | |
| dc.creator | Roynette, Bernard | |
| dc.creator | Yor, Marc | |
| dc.date | 2007-08-29 | |
| dc.date | 2009-01-22 | |
| dc.date.accessioned | 2026-07-07T12:32:15Z | |
| dc.date.available | 2026-07-07T12:32:15Z | |
| dc.description | 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 $Γ_t(G)$ (resp. $Γ_t(1/G))$ 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 $Γ_t(G)$ and $Γ_t(1/G)$.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. | |
| dc.description | Published in at http://dx.doi.org/10.1214/07-PS118 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0708.3932 | |
| dc.identifier | http://arxiv.org/abs/0708.3932 | |
| dc.identifier | Probability Surveys 2008, Vol. 5, 346-415 | |
| dc.identifier | doi:10.1214/07-PS118 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/216723 | |
| dc.subject | Probability | |
| dc.subject | 60E07, 60E10, 60G51, 60G52, 60G57 (Primary) | |
| dc.title | Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples | |
| dc.type | text |