On a Certain Class of Limit Distributions
Shantaram, R. ; Harkness, W.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 2067-2071 / Harvested from Project Euclid
Suppose that $G$ is the distribution function $(\operatorname{df})$ of a (non-negative) $\mathrm{rv} Z$ satisfying the integral-functional equation $G(x) = b^{-1} \int^{lx}_0 \lbrack 1 - G(u)\rbrack du$, for $x > 0$, and zero for $x \leqq 0$, with $l \geqq 1$. Such a $\operatorname{df} G$ arises as the limit $\operatorname{df}$ of a sequence of iterated transformations of an arbitrary $\operatorname{df}$ of a $\operatorname{rv}$ having finite moments of all orders. When $l = 1, G$ must be the simple exponential $\operatorname{df}$ and is unique. It is shown, for $l > 1$, that there exists an infinite number of $\operatorname{df}$'s satisfying this equation. Using the fact that any $\operatorname{df} G$ which satisfies the given equation must have finite moments $\nu_k = K! b^kl^{k(k-1)/2}$ for $k = 0, 1, 2, \cdots$, it is shown that the $\operatorname{df}$ of the $\operatorname{rv} Z = UV$, where $U$ and $V$ are independent rv's having log-normal and simple exponential distributions, respectively, satisfies the integral functional equation. It is then easy to exhibit explicitly a family of solutions of the equation.
Publié le : 1972-12-14
Classification: 
@article{1177690886,
     author = {Shantaram, R. and Harkness, W.},
     title = {On a Certain Class of Limit Distributions},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 2067-2071},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177690886}
}
Shantaram, R.; Harkness, W. On a Certain Class of Limit Distributions. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  2067-2071. http://gdmltest.u-ga.fr/item/1177690886/