On Multivariate Hyperbolically Completely Monotone Densities and Their Laplace transforms
2015 (English)Manuscript (preprint) (Other academic)
We study classes of multivariate (bivariate) random variables with hyperbolically completely monotone densities (MVHCM) and prove that these classes are closed with respect to the Laplace transform. We then use this result to define new classes of bivariate generalized gamma convolutions (BVGGC_L) that contain Bondesson's class BVGGC in the strong sense.
Place, publisher, year, edition, pages
Random vector, multivariate density, independence, Laplace transform, hyperbolocally completely monotone, generalized gamma convolution (GGC), bivariate GGC
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:umu:diva-99257OAI: oai:DiVA.org:umu-99257DiVA: diva2:786288