Convex and star-shaped sets associated with stable distributions

Abstract

It is known that each symmetric stable distribution in Rd is related to a norm on Rd that makes Rd embeddable in Lp([0, 1]). In case of a multivariate Cauchy distribution the unit ball in this norm corresponds is the polar set to a convex set in Rd called a zonoid. This work exploits most recent advances in convex geometry in order to come up with new probabilistic results for multivariate stable distributions. In particular, it provides expressions for moments of the Euclidean norm of a stable vector, mixed moments and various integrals of the density function. It is shown how to use geometric inequalities in order to bound important parameters of stable laws. Furthermore, covariation, regression and orthogonality concepts for stable laws acquire geometric interpretations. A similar collection of results is presented for one-sided stable laws.

Cite this paper

@inproceedings{Molchanov2008ConvexAS, title={Convex and star-shaped sets associated with stable distributions}, author={Ilya S. Molchanov}, year={2008} }