Results 11 to 20 of about 42 (41)
Computing VAR and AVaR in Infinitely Divisible Distributions [PDF]
, 2009 In this paper we derive closed-form solutions for the cumulative distribution function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim–Rachev distribution ...
Rachev, Svetlozar T. +7 more
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New properties and representations for members of the power-variance family.I [PDF]
, 2012 We derive new Wright-function representations for the densities of the generating measures of most representatives of the power-variance family of distributions.
Vinogradov, Vladimir +2 more
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, 2011 Inverse problem, Infinitely divisible distribution, 60E07, 60H30, C02,
S. Kaji, S. Kotani
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Failure of the Raikov theorem for free random variables
, 2004 Summary. We show that the sum of two free random variables can have a free Poisson law without any of them having a free Poisson law. Key words: free probability theory, Raikov theorem, free Poisson distribution, free convolution, R-transform.
Florent Benaych-georges
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Limit Theorems for Maxima of Heavy-Tailed Terms with Random Dependent Weights [PDF]
, 2007 2000 Mathematics Subject Classification: Primary 60F17, 60G52, 60G70 secondary 60E07, 62E20.We study the general case when the weights Wj , j N can be dependent and in particular long-range dependent.
Stoev, Stilian +2 more
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Gaussian, stable, tempered stable and mixed limit laws for random walks in cooling random environments [PDF]
Random Walks in Cooling Random Environments (RWCRE) is a model of random walks in dynamic random environments where the entire environment is resampled along a fixed sequence of times, called the "cooling sequence", and is kept fixed in between those ...
Da Costa, Conrado +2 more
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Natural exponential families associated to Pick functions
Pick function, variance function, exponential families, quadratic action, 32E20, 60E07, 60E10, 62E10,
Dhafer Malouche
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Goodness-of-fit tests for symmetric stable distributions—Empirical characteristic function approach
Stable distributions, Goodness-of-fit tests, Integral equations, Maximum likelihood estimator, 60E07, 62F03,
Akimichi Takemura, Muneya Matsui
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Maximum likelihood estimators in regression models with infinite variance innovations
60E07, 60P17, 62F12, 62J05, Autoregression, stable distributions, Lévy processes, maximum likelihood estimators,
Svetlozar Rachev, Vygantas Paulaauskas
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Ruin Probability With Claims Modeled By A Stationary Ergodic Stable Process
, 1999 . For a random walk with negative drift we study the exceedance probability (ruin probability) of a high threshold. The steps of this walk (claim sizes) constitute a stationary ergodic stable process.
Gennady Samorodnitsky +3 more
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