A note on mixture representations for the Linnik and Mittag-Leffler distributions and their applications

Abstract

We present some product representations for random variables with the Linnik, Mittag-Leffler and Weibull distributions and establish the relationship between the mixing distributions in these representations. The main result is the representation of the Linnik distribution as a normal scale mixture with the Mittag-Leffler mixing distribution. As a corollary, we obtain the known representation of the Linnik distribution as a scale mixture of Laplace distributions. Another corollary of the main representation is the theorem establishing that the distributions of random sums of independent identically distributed random variables with finite variances converge to the Linnik distribution under an appropriate normalization if and only if the distribution of the random number of summands under the same normalization converges to the Mittag-Leffler distribution.