Parameterizations and modes of stable distributions
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gawronski WoLfgang & Wießner Martin, 1992. "Asymptotics And Inequalities For The Mode Of Stable Laws," Statistics & Risk Modeling, De Gruyter, vol. 10(1-2), pages 183-198, February.
- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Muneya Matsui & Akimichi Takemura, 2004. "Some Improvements in Numerical Evaluation of Symmetric Stable Density and its Derivatives," CIRJE F-Series CIRJE-F-292, CIRJE, Faculty of Economics, University of Tokyo.
- Scalas, Enrico & Kim, Kyungsik, 2006.
"The art of fitting financial time series with Levy stable distributions,"
336, University Library of Munich, Germany.
- Enrico Scalas & Kyungsik Kim, 2006. "The art of fitting financial time series with Levy stable distributions," Papers physics/0608224, arXiv.org.
- Abdul-Hamid, Husein & Nolan, John P., 1998. "Multivariate Stable Densities as Functions of One Dimensional Projections," Journal of Multivariate Analysis, Elsevier, vol. 67(1), pages 80-89, October.
- Mitchell, James, 2002. "The use of non-normal distributions in quantifying qualitative survey data on expectations," Economics Letters, Elsevier, vol. 76(1), pages 101-107, June.
- Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW).
- repec:imx:journl:v:12:y:2017:i:2:p:49-69 is not listed on IDEAS
- Graves, Timothy & Franzke, Christian L.E. & Watkins, Nicholas W. & Gramacy, Robert B. & Tindale, Elizabeth, 2017. "Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 60-71.
- Nolan, John P. & Ojeda-Revah, Diana, 2013. "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 186-194.
- Climent-Hernández, José Antonio & Venegas-Martínez, Francisco & Ortiz-Arango, Francisco, 2014.
"Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo
[Optimal Portfolio and Structured Notes in alpha-stable Markets: a Risk Minimization App," MPRA Paper 57740, University Library of Munich, Germany.
- repec:eee:phsmap:v:502:y:2018:i:c:p:256-269 is not listed on IDEAS
- Pewsey, Arthur, 2008. "The wrapped stable family of distributions as a flexible model for circular data," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1516-1523, January.
- Matsui, Muneya & Takemura, Akimichi, 2009. "Integral representations of one-dimensional projections for multivariate stable densities," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 334-344, March.
- Koenker, Roger & Portnoy, Stephen, 2000. "Some pathological regression asymptotics under stable conditions," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 219-228, November.
- Fofack, Hippolyte & Nolan, John P., 2001. "Distribution of parallel exchange rates in African countries," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 987-1001, December.
- Andrea Fontanari & Nassim Nicholas Taleb & Pasquale Cirillo, 2017. "Gini estimation under infinite variance," Papers 1707.01370, arXiv.org, revised Dec 2017.
- repec:hal:journl:hal-00642696 is not listed on IDEAS
- Menn, Christian & Rachev, Svetlozar T., 2006. "Calibrated FFT-based density approximations for [alpha]-stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 1891-1904, April.
- Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 6, pages 1-81.
- Chan, W.S. & Cheung, S.H. & Zhang, L.X. & Wu, K.H., 2008. "Temporal aggregation of equity return time-series models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 172-180.
- Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
- José Antonio Climent-Hernández, 2017. "Portafolios de dispersión mínima con rendimientos log-estables Minimum dispersion portfolios with log-stable returns," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
More about this item
KeywordsStable distributions Characteristic functions Stable modes Multivariate stable distributions;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:38:y:1998:i:2:p:187-195. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.