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I am looking for a finite-dimensional family of distributions $F_X(x)$ with all the following properties:

  1. Supported on $[0, +\infty)$,
  2. Fat tailed, i.e. $(1-F_X(x)) \sim x^{-\alpha}$ for $x\to +\infty$ and some $\alpha>0$,
  3. The mean is finite (this implies $\alpha>1$ in 2.),
  4. Stable under sum of i.i.d. variables: If $X_1,\ldots,X_n\sim F_X$ are i.i.d., then $Y=\sum_{j=1}^nX_j$ belongs to the same family?

There are several examples if any of the conditions is removed:

  1. The symmetric stable distributions with $\alpha>1$.
  2. Many examples here: Gamma, Inverse Gaussian just to cite two.
  3. The Levy distribution (and other one-sided stable distributions with $0<\alpha<1$.
  4. Many examples here too: Pareto, Burr, Log-Gamma, etc.

Is there a family satisfying all of them, or is there a reason why it is impossible?

Updated: Clarify that the family has to be finite-dimensional.

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  • $\begingroup$ I may not have been clear: if we drop condition 2 (fat tails) then Gamma is an example. In other words, Gamma satisfies 1, 3, and 4, but not 2. $\endgroup$
    – AndreA
    Commented Jul 4, 2023 at 11:39
  • $\begingroup$ You have fully described such a family! The only thing one might need to show is that all distributions satisfying (1) - (3) also satisfy (4), but (3) implies the mean of the sum is finite; the sum clearly is positive (1); and since the sum stochastically dominates the minimum and the minimum is (trivially) fat-tailed, QED. $\endgroup$
    – whuber
    Commented Jul 4, 2023 at 15:22
  • $\begingroup$ In fact I did, but that was not my intention! Let me reformulate: is there a finite dimensional sub-family , possibly with a nice parameterization? $\endgroup$
    – AndreA
    Commented Jul 4, 2023 at 15:44
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    $\begingroup$ According to en.wikipedia.org/wiki/…, the mean cannot be finite. $\endgroup$
    – whuber
    Commented Jul 4, 2023 at 16:06
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    $\begingroup$ When you allow a scale parameter, there's no difference. $\endgroup$
    – whuber
    Commented Jul 4, 2023 at 18:26

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