A note on the infinite divisibility of a class of transformations of normal variables

2011/03/27 by Antonio Murillo-Salas, A. Murillo-Salas, Murillo-Salas, A. +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60E05 #60E07 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability and Risk Models #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST) #math.ST #msc:60E05 #msc:60E07 #stat.TH

paper · pdf · doi:10.48550/arxiv.1103.5220

openalex publication_date 2011/03/27 · arxiv created 2011/08/02 · arxiv updated 2011/08/03 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

This note examines the infinite divisibility of density-based transformations of normal random variables. We characterize a class of density-based transformations of normal variables which produces non-infinitely divisible distributions. We relate our result with some known skewing mechanisms.

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