Results 221 to 230 of about 7,006,649 (251)
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 ...
Michael Grabchak
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On a New Class of Tempered Stable Distributions: Moments and Regular Variation [PDF]
Journal of Applied Probability, 2012 We extend the class of tempered stable distributions, which were first introduced in Rosiński (2007). Our new class allows for more structure and more variety of the tail behaviors. We discuss various subclasses and the relations between them. To characterize the possible tails, we give detailed results about finiteness of various moments. We also give
Michael Grabchak
exaly +7 more sources
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Estimation and simulation for multivariate tempered stable distributions
Journal of Statistical Computation and Simulation, 2021We introduce a methodology for the simulation and parameter estimation of multivariate tempered stable distributions with an emphasis on the bivariate case.
Yunfei Xia, Michael Grabchak
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Modeling Tail Risk with Tempered Stable Distributions: An Overview
Annals of Operations Research, 2018This paper investigates the performance of different parametric models, stable and tempered stable distributions, for capturing the tail behaviour of the log-returns. We first define and discuss the properties of the stable and tempered stable random variables.
Hasan A Fallahgoul, Gregoire Loeper
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On Brascamp–Lieb and Poincaré type inequalities for generalized tempered stable distribution
Statistics & Probability Letters, 2022In this paper, the authors analyze covariance inequalities using Stein's method for the class of generalized tempered stable probability distributions. They obtain a Stein's lemma and derive a Stein operator for this class. They also prove Brascamp-Lieb and Poincaré type inequalities for the class of generalized tempered stable probability ...
Kalyan Barman, Neelesh S. Upadhye
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Quantile-Based Inference for Tempered Stable Distributions
SSRN Electronic Journal, 2015If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability distributions.
Hasan A. Fallahgoul +2 more
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Multi-modal tempered stable distributions and prosses with applications to finance
Communications in Statistics - Theory and Methods, 2020The assumption of underlying return distribution plays an important role in asset pricing models.
Ahmad Arefi, Reza Pourtaheri
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Limit Theorems for Tempered Stable Distributions
2015In this chapter we introduce the class of extended p-tempered α-stable distributions, which is the smallest class of models that contains TS α p and is closed under weak convergence. We then characterize weak convergence of sequences in this class.
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A New Tempered Stable Distribution and Its Application to Finance
2008In this paper, we will discuss a parametric approach to risk-neutral density extraction from option prices based on the knowledge of the estimated historical density. A flexible distribution is needed in order to find an equivalent change of measure and, at the same time, take into account the historical estimates.
Rachev, S. T. +3 more
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Markov Regime-Switching in-Mean Model with Tempered Stable Distribution
Computational Economics, 2019Markov Regime-Switching (MRS) model is a widely used approach to model the actuarial and financial data with potential structural breaks. In the original MRS model, the innovation series is assumed to follow a Normal distribution, which cannot accommodate fat-tailed properties commonly present in empirical data.
Yanlin Shi, Lingbing Feng, Tong Fu
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