Multiplicative self-decomposition of the exponential and gamma distributions

Abstract: Multiplicative self-decomposable laws describe random variables that can be decomposed into a product of a scaled-down version of themselves and an independent residual term. Shanbhag et al.~(1977) have shown that the gamma distribution is multiplicative self-decomposable (in particular, the exponential distribution). As a result, they established the multiplicative self-decomposability of the absolute value of a centered normal random variable. A limitation of Shanbhag's result is that the distribution of the residual component is not explicitly identified. In this paper, we aim to fill this gap by providing an explicit distribution of the residual term. In more detail, the residual term follows an $M$-Wright distribution in the case of the exponential distribution, whereas for the gamma distribution it follows a Fox $H$-function distribution. This, in turn, enables us to identify the distribution of the residual term of the absolute value of a centered normal random variable as a Wright distribution.