Results 11 to 20 of about 6,070,112 (198)
Modelling Cell Generation Times by Using the Tempered Stable Distribution
Journal of the Royal Statistical Society Series C: Applied Statistics, 2008 Summary We show that the family of tempered stable distributions has considerable potential for modelling cell generation time data. Several real examples illustrate how these distributions can improve on currently assumed models, including the gamma and inverse Gaussian distributions which arise as special cases.
Palmer, Karen J. +2 more
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Asymmetrically tempered stable distributions with applications to finance
Probability and Mathematical Statistics, 2019 In this paper, we introduce a technique to produce a new family of tempered stable distributions. We call this family asymmetrically tempered stable distributions.We provide two examples of this family named asymmetrically classical modified tempered stable ACMTS and asymmetrically modified classical tempered stable AMCTS distributions.
Arefi, A., Pourtaheri, R.
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Tempered Stable Distributions [PDF]
, 2016 This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions.
Grabchak, Michael
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Exact Simulation for a Class of Tempered Stable and Related Distributions [PDF]
ACM Transactions on Modeling and Computer Simulation, 2018 In this article, we develop a new scheme of exact simulation for a class of tempered stable (TS) and other related distributions with similar Laplace transforms. We discover some interesting integral representations for the underlying density functions that imply a unique simulation framework based on a backward recursive procedure.
Angelos Dassios, Yan Qu, Hongbiao Zhao
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Fractal and Fractional, 2019 New aspects of electron transport in quantum wires with Lévy-type disorder are described. We study the weak scattering and the incoherent sequential tunneling in one-dimensional quantum systems characterized by a tempered Lévy stable ...
Renat T. Sibatov, HongGuang Sun
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Risk parity for Mixed Tempered Stable distributed sources of risk [PDF]
Annals of Operations Research, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lorenzo Mercuri, Edit Rroji
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A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models
Frontiers in Applied Mathematics and Statistics, 2016 This paper considers the American option pricing problem under the stochastic volatility models. In particular, we introduce the GARCH model with two heavy-tailed distributions: classical tempered stable (CTS) and normal tempered stable (NTS ...
Xiang eShi +2 more
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Tempered stable distributions and processes
Stochastic Processes and their Applications, 2013 34 ...
Küchler, Uwe, Tappe, Stefan
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Domains of attraction for positive and discrete tempered stable distributions [PDF]
Journal of Applied Probability, 2018 Abstract We introduce a large and flexible class of discrete tempered stable distributions, and analyze the domains of attraction for both this class and the related class of positive tempered stable distributions. Our results suggest that these are natural models for sums of independent and identically distributed random variables with tempered heavy ...
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A simulation study on the distributions of disturbances in the GARCH model
Cogent Economics & Finance, 2017 Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series.
Lingbing Feng, Yanlin Shi
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