The Beta Product Distribution with Complex Parameters
The family consisting of the distributions of products of two independent beta variables is extended to include cases where some of the parameters are not positive but negative or complex. This “beta product” distribution is expressible as a Meijer G function. An example (from risk theory) where such a distribution arises is given: an infinite sum of products of independent random variables is shown to have a distribution that is the product convolution of a complex-parameter beta product and an independent exponential. The distribution of the infinite sum is a new explicit solution of the stochastic equation X = (in law) B(X + C). Characterizations of some G distributions are also proved.