Results 11 to 20 of about 3,027,054 (295)
A Characterization of Symmetric Stable Distributions [PDF]
Journal of Function Spaces, 2016 Characterization problems in probability are studied here. Using the characteristic function of an additive convolution we generalize some known characterizations of the normal distribution to stable distributions.
Wiktor Ejsmont
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Approximations related to tempered stable distributions [PDF]
Modern Stochastics: Theory and ApplicationsIn this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution (CPD) and also an error bound between a tempered stable and an α-stable distribution via Stein’s method.
Kalyan Barman +2 more
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Operator-stable distributions and stable marginals
Journal of Multivariate Analysis, 1980 AbstractSharpe has shown that full operator-stable distributions μ on Rn are infinitely divisible and for a suitable automorphism B depending on μ satisfy the relation μt = μt−B ∗ δ(b(t)) for all t > 0. B is called an exponent for μ. It is proved here that if an operator-stable distribution on Rn has n linearly independent univariate stable marginals ...
Hudson, William N.
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Particle filtering with alpha-stable distributions [PDF]
, 2005 In this paper we introduce a novel sequential Monte Carlo technique, which is based on the family of symmetric alpha- stable (SAS) distributions.
Canagarajah, N. +4 more
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Stable distributions in stochastic fragmentation [PDF]
Journal of Physics A: Mathematical and General, 2004 We investigate a class of stochastic fragmentation processes involving stable and unstable fragments. We solve analytically for the fragment length density and find that a generic algebraic divergence characterizes its small-size tail. Furthermore, the entire range of acceptable values of decay exponent consistent with the length conservation can be ...
Krapivsky, P. L. +2 more
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Mixed tempered stable distribution [PDF]
Quantitative Finance, 2013 In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that, by choosing appropriately the parameters of the distribution and under the concrete specification of the mixing ...
Rroji E, Mercuri L
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, 2005 Many of the concepts in theoretical and empirical Ønance developed over the past decades { including the classical portfolio theory, the Black-Scholes-Merton option pricing model and the RiskMetrics variance-covariance approach to Value at Risk (VaR) { rest upon the assumption that asset returns follow a normal distribution.
Szymon Borak +2 more
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Discrete Tempered Stable Distributions [PDF]
Methodology and Computing in Applied Probability, 2021 A discrete tempered stable (DTS) random variable \(X\) with parameters \(\alpha\in(0,1)\) and \(\eta\geq0\), and with tempering function \(q\) satisfying \(\lim_{x\downarrow0}q(x)=1\) and \(\mathrm{ess}\sup q(x)
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On the Fractional Poisson Process and the Discretized Stable Subordinator
Axioms, 2015 We consider the renewal counting number process N = N(t) as a forward march over the non-negative integers with independent identically distributed waiting times.
Rudolf Gorenflo, Francesco Mainardi
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Statistical image fusion with generalised Gaussian and Alpha-Stable distributions [PDF]
, 2007 This paper describes a new methodology for multimodal image fusion based on non-Gaussian statistical modelling of wavelet coefficients of the input images.
Loza, AT +7 more
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