Characterization of infinitely divisible multivariate gamma distributions

doi:10.1016/0047-259X(84)90064-2

Journal of Multivariate Analysis

Volume 15, Issue 1, August 1984, Pages 13-20

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Abstract

A particular class of p-dimensional exponential distributions have Laplace transforms |I + VT|⁻¹, V positive definite or positive semi-definite and T = diagonal (t₁,…, t_p). A characterization is given of when these Laplace transforms are infinitely divisible.

MSC

60E05

62H05

Keywords

Infinite divisibility

multivariate exponential distribution

multivariate gamma distribution