2011•arXiv (Cornell University)Open access
A note on the infinite divisibility of a class of transformations of normal variables
Antonio Murillo-Salas, Francisco J. Rubio
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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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