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Multivariate Mittag-Leffler Distributionтезисы доклада
- Авторы: Yury Khokhlov, Victor Korolev
- Сборник: Book of Abstracts of the 6th Stochastic Modeling Techniques and Data Analysis International Conference with Demographics Workshop: 2-5 June, 2020
- Тезисы
- Год издания: 2020
- Место издания: International Society for the Advancement of Science and Technology
- Первая страница: 59
- Последняя страница: 59
- Аннотация: This distribution has been discovered by I.N. Kovalenko[1] in 1965. Using Laplaсe transforms he has described all possible limit laws for the distributions of appropriately normalized geometric sums of independent identically distributed nonnegative random variables. Twenty five years later this limit property of Mittag-Leffler distributions was re-discovered by A. Pillai[2] who propose the term Mittag-Leffler distribution for this type of distributions. Recently Korolev and Zeifman[3] have found many interesting relations of Mittag-Leffler distributions with stable, Laplace, Linnik and Weibull distributions. It is not difficult to get the analogous results for the random sums of random vectors when the summation index has univariate geometric distribution. In our report we consider more interesting situation of multivariate random sums where summation index has multivariate geometric distribution. Using this approach we get new and more general variants of multivariate Mittag-Leffler, Laplace, Linnik and Weibull distributions.This research is supported by RFCF, project 18-11-00155
- Добавил в систему: Хохлов Юрий Степанович