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单词 InfinitelyDivisibleRandomVariable
释义

infinitely divisible random variable


Let n be a positive integer. A real random variableMathworldPlanetmath X defined on a probability spaceMathworldPlanetmath (Ω,,P) is said to be

  1. 1.

    n-decomposable if there exist n independent random variables X1,,Xn such that X is identically distributed as the sum X1++Xn. A 2-decomposable random variable is also called a decomposable random variable;

  2. 2.

    n-divisible if X is n-decomposable and the Xi’s can be chosen so that they are identically distributed;

  3. 3.

    infinitely divisible if X is n-divisible for every positive integer n. In other words, X can be written as the sum of n iid random variables for any n.

A distribution functionMathworldPlanetmath is said to be infinitely divisible if it is the distribution function of an infinitely divisible random variable.

Remark. Any stable random variable is infinitely divisible.

Some examples of infinitely divisible distribution functions, besides those that are stable, are the gamma distributionsMathworldPlanetmath, negative binomial distributionsMathworldPlanetmath, and compound Poisson distributions.

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更新时间:2025/5/4 5:41:01