Stable Probability Distributions and their Domains of Attraction
AbstractThe theory of stable probability distributions and their domains of attraction is derived in a direct way(avoiding the usual route via infinitely divisible distributions) using Fourier transforms. Regularly varyingfunctions play an important role in the exposition.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 97-089/4.
Date of creation: 11 Sep 1997
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- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Hüsler, J. & Piterbarg, V., 1999. "Extremes of a certain class of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 257-271, October.
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