Results 11 to 20 of about 2,940,601 (236)
Modeling overdispersion with the normalized tempered stable distribution [PDF]
Computational Statistics & Data Analysis, 2011 This paper discusses a multivariate distribution which generalizes the Dirichlet distribution and demonstrates its usefulness for modelling overdispersion in count data. The distribution is constructed by normalizing a vector of independent Tempered Stable random variables.
M. Kolossiatis +2 more
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Estimation for multivariate normal rapidly decreasing tempered stable distributions [PDF]
Journal of Statistical Computation and Simulation, 2023 In this paper we describe a methodology for parameter estimation of multivariate distributions defined as normal mean-variance mixture where the mixing random variable is rapidly decreasing tempered stable distributed. We address some numerical issues resulting from the use of the characteristic function for density approximation.
Michele Leonardo Bianchi +1 more
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On the convolution equivalence of tempered stable distributions on the real line [PDF]
Statistics & Probability LettersWe show the convolution equivalence property of univariate tempered stable distributions in the sense of Rosińsky (2007). This makes rigorous various classic heuristic arguments on the asymptotic similarity between the probability and Lévy densities of such distributions. Some specific examples from the literature are discussed.
Torricelli, Lorenzo
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Pricing multi-asset options with tempered stable distributions
Financial InnovationWe derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes ...
Yunfei Xia, Michael Grabchak
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Portfolio Analysis with Multivariate Normal Tempered Stable Processes and Distributions [PDF]
, 2011 Using the construction approach of Brownian subordination, the univariate framework of Normal Tempered Stable Lévy processes is extended to an arbitrary number of dimensions. A thorough study of the mathematical properties of the multivariate stochastic process is followed by various applications of its distributions in financial econometrics and ...
Krause, Dirk
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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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Quantile-Based Inference for Tempered Stable Distributions
SSRN Electronic Journal, 2015 If 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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Use of tempered stable distributions in GARCH(1, 1) models
Журнал Белорусского государственного университета: Математика, информатика, 2018 Use of classical and modified tempered stable distributions for GARCH models is considered in the paper. Such models are applied for the analysis of financial and economic time series, which have several special properties: volatility clustering, heavy ...
Uladzimir S. Tserakh
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Stable and tempered stable distributions and processes: an overview toward trajectory simulation
25 pages, 6 ...
Jalal, Taher
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Tempered Stable Distributions: Properties And Extensions [PDF]
, 2011 It has been observed that data often appears to be well approximated by infinite variance stable distributions in some central region, but the tails of the distribution are actually lighter. Tempered stable distributions, which were introduced in [Ros07],
Grabchak, Michael
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