On the infinite divisibility of the lognormal distribution
- 1 March 1977
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1977 (3) , 121-148
- https://doi.org/10.1080/03461238.1977.10405635
Abstract
In the present paper the author proves that the lognormal distribution is infinitely divisible. This is achieved by showing that the lognormal is the weak limit of a sequence of probability distributions all of which are generalized Γ-convolutions and thus infinitely divisible. It is also proved that the lognormal itself is a generalized Γ-convolution.Keywords
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