Regular variation and free regular infinitely divisible laws

Article Type

Research Article

Publication Title

Statistics and Probability Letters

Abstract

In this article the relation between the tail behaviours of a free regular infinitely divisible probability measure and its Lévy measure is studied. An important example of such a measure is the compound free Poisson distribution, which often occurs as a limiting spectral distribution of certain sequences of random matrices. We also describe a connection between an analogous classical result of Embrechts et al. (1979) and our result using the Bercovici–Pata bijection.

DOI

10.1016/j.spl.2019.108607

Publication Date

1-1-2020

Comments

Open Access, Green

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