On the infinite divisibility of inverse Beta distributions

Pierre Bosch (1) , Thomas Simon (1, 2)

1 LPP - Laboratoire Paul Painlevé - UMR 8524
2 LPTMS - Laboratoire de Physique Théorique et Modèles Statistiques

We show that all negative powers B_{a,b}^-{s} of the Beta distribution are infinitely divisible. The case b<1 follows by complete monotonicity, the case b > 1, s > 1 by hyperbolically complete monotonicity and the case b > 1, s < 1 by a Lévy perpetuity argument involving the hypergeometric series. We also observe that B_{a,b}^{-s} is self-decomposable whenever 2a + b + s + bs > 1, and that it is not always a generalized Gamma convolution. On the other hand, we prove that all negative powers of the Gamma distribution are generalized Gamma convolutions, answering to a recent question of L. Bondesson.

Mots clés: Beta distribution; Gamma distribution; Generalized Gamma convolution; Hyperbolically complete monotonicity; Hypergeometric series; Lévy perpetuity; Self-decomposability; Stieltjes transform

Domaines: Probabilités [math.PR]

Pierre Bosch, Thomas Simon. On the infinite divisibility of inverse Beta distributions. 2014. ⟨hal-00991958v2⟩