Year: 2014
Type: preprint
Abstract: As is known, the convolution $μ*ν$ of two $G$-normal distributions $μ, ν$ with different intervals of variances may not be $G$-normal. We shows that $μ*ν$ is a $G$-normal distribution if and only if $\frac{\overlineσ_μ}{\underlineσ_μ}=\frac{\overlineσ_ν}{\underlineσ_ν}$.
Source: arXiv (Cornell University)
Author: Song, Yongsheng
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2951823209