Infinite divisibility (probability)
In probability theory, a probability distribution is infinitely divisible if it can be expressed as the probability distribution of the sum of an arbitrary number of independent and identically distributed random variables. The characteristic function of any infinitely divisible distribution is then called an infinitely divisible characteristic function.
More rigorously, the probability distribution F is infinitely divisible if, for every positive integer n, there exist n independent identically distributed random variables Xn1, ..., Xnn whose sum Sn = Xn1 + … + Xnn has the distribution F.
The concept of infinite divisibility of probability distributions was introduced in 1929 by Bruno de Finetti. This type of decomposition of a distribution is used in probability and statistics to find families of probability distributions that might be natural choices for certain models or applications. Infinitely divisible distributions play an important role in probability theory in the context of limit theorems.
The Poisson distribution, the negative binomial distribution, the Gamma distribution and the degenerate distribution are examples of infinitely divisible distributions; as are the normal distribution, Cauchy distribution and all other members of the stable distribution family. The uniform distribution and the binomial distribution are not infinitely divisible, as are all distribution with bounded (finite) support. The Student's t-distribution is infinitely divisible, while the distribution of the reciprocal of a random variable having a Student's t-distribution, is not.
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