Results 11 to 20 of about 2,530,305 (240)

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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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
openaire   +4 more sources

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, Gian Luca Tassinari   +1 more
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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., Ridout, Martin S., Morgan, Byron J. T.   +2 more
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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
core   +6 more sources

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
openaire   +4 more sources

Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market

Mathematics, 2022
The component GARCH model (CGARCH) was among the first attempts to split the conditional variance into a permanent and transitory component. With the application to economic and finance data, it helps investigate the long- and short-run movements of ...
Tong Liu, Yanlin Shi
doaj   +1 more source

Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem. [PDF]

PLoS ONE, 2015
In this paper we propose an algorithm to distinguish between light- and heavy-tailed probability laws underlying random datasets. The idea of the algorithm, which is visual and easy to implement, is to check whether the underlying law belongs to the ...
Krzysztof Burnecki, Agnieszka Wylomanska, Aleksei Chechkin   +2 more
doaj   +1 more source

Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein–Uhlenbeck Type

Risks, 2022
In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process.
Piergiacomo Sabino
doaj   +1 more source

Modeling COVID-19 spreading dynamics and unemployment rate evolution in rural and urban counties of Alabama and New York using fractional derivative models

Results in Physics, 2021
The COVID-19 pandemic has been affecting the United States (U.S.) since the outbreak documented on 2/29/2020, and understanding its dynamics is critical for pandemic mitigation and economic recovery.
Xiangnan Yu, Yong Zhang, HongGuang Sun
doaj   +1 more source