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The stability test for symmetric alpha-stable distributions [PDF]

IEEE Transactions on Signal Processing, 2005
—Symmetric alpha-stable distributions are a popular statistical model for heavy-tailed phenomena encountered in communications, radar, biomedicine, and econometrics.
A M Zoubir
exaly   +2 more sources

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Fractional Stable Distributions

Journal of Mathematical Sciences, 2001
A limit theorem for a one-dimensional continuous time random walk (CTRW) with infinite-mean waiting times and independent particle jumps in the domain of normal attraction of a strictly stable law is presented. It is shown that the limiting distribution of the normalized CTRW is represented by the fraction of powers of stable laws, called fractional ...
Kolokoltsov, V., Korolev, V., Uchaikin, V.   +2 more
openaire   +1 more source

On Complexification of Max-Stable Distributions

Moscow University Mathematics Bulletin, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Sampling Exponentially Tilted Stable Distributions

ACM Transactions on Modeling and Computer Simulation, 2011
Several algorithms for sampling exponentially tilted positive stable distributions have recently been suggested. Three of them are known as exact methods, that is, neither do they rely on approximations nor on numerically critical procedures.
Marius Hofert
exaly   +2 more sources

Portfolio management with stable distributions

Mathematical Methods of Operations Research (ZOR), 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rachev, Svetlozar T., Han, S.
openaire   +3 more sources

ON LÉVY STABLE AND SEMISTABLE DISTRIBUTIONS

Fractals, 2001
This work emphasizes the special role played by semistable and log-semistable distributions as relevant statistical models of various observable and "internal" variables in physics. Besides of their representation, some of their remarkable properties (chiefly semi-self-similarity) are displayed in some detail. One of their characteristic features is a
Huillet, Thierry, Porzio, Anna, Alaya, Mohamed Ben   +2 more
openaire   +2 more sources

The effective bandwidth of stable distributions

Proceedings of the 1998 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP '98 (Cat. No.98CH36181), 2002
In this paper the effective bandwidths of stable distributions are studied. Effective bandwidths are being heavily promoted as the most appropriate method for call admission control (CAC) and resource allocation within ATM networks. Previous work in teletraffic modelling has suggested that models based on stable distributions provide an efficient ...
Stephen Bates, Steve McLaughlin 0001
openaire   +1 more source

Existence of Stable Distributed Lags

Econometrica, 1977
This paper attempts to determine conditions under which distributed lag analysis is appropriate. Results indicate that lag functions are stable and linear under fairly general (but constant) objective criteria and decision constraints as long as the underlying economic environment is characterized by a stationary Gauss-Markov process, and observed ...
openaire   +1 more source