Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

Albert Ferreiro-Castilla; Frederic Utzet

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arXiv · 1009.1543

Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

Albert Ferreiro-Castilla·Frederic Utzet

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Abstract

We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that type has a density which can be expressed as a generalized Dirichlet series, which in turn is an infinite linear combination of exponential or Laplace densities. These results are applied to several examples.

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BibTeX RIS

Albert Ferreiro-Castilla, Frederic Utzet. 2010-09-08. Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities. https://arxiv.org/abs/1009.1543

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