On a Class of Distributions Stable Under Random Summation

L. B. Klebanov, A. V. Kakosyan, S. T. Rachev, G. Temnov
2012 Journal of Applied Probability  
We study a family of distributions that satisfy the stability-under-addition property, provided that the number ν of random variables in a sum is also a random variable. We call the corresponding property ν-stability and investigate the situation when the semigroup generated by the generating function of ν is commutative. Using results from the theory of iterations of analytic functions, we describe ν-stable distributions generated by summations with rational generating functions. A new case in
more » ... this class of distributions arises when generating functions are linked with Chebyshev polynomials. The analogue of normal distribution corresponds to the hyperbolic secant distribution.
doi:10.1017/s0021900200009104 fatcat:mhjvjk7mbjdllbdyiiigtbomky