On moments and tail behavior of v-stable random variables
AbstractIn this paper a class of limiting probability distributions of normalized sums of a random number of i.i.d. random variables is considered. The representation of such distributions via stable laws and asymptotic behavior of their moments and tail probabilities are established.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 29 (1996)
Issue (Month): 4 (September)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Rachev S. T., 1993. "Rate Of Convergence For Maxima Of Random Arrays With Applications To Stock Returns," Statistics & Risk Modeling, De Gruyter, vol. 11(3), pages 279-288, March.
- Kozubowski, Tomasz J. & Rachev, Svetlozar T., 1994. "The theory of geometric stable distributions and its use in modeling financial data," European Journal of Operational Research, Elsevier, vol. 74(2), pages 310-324, April.
- Kozubowski, Tomasz J. & Meerschaert, Mark M., 2009. "A bivariate infinitely divisible distribution with exponential and Mittag-Leffler marginals," Statistics & Probability Letters, Elsevier, vol. 79(14), pages 1596-1601, July.
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