Product representations for random variables with Weibull distributions and their applications

DOI10.1007/s10958-016-3031-7zbMath1387.60024OpenAlexW2520415141MaRDI QIDQ341734

V. Yu. Korolev

Publication date: 17 November 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-016-3031-7

zbMATH Keywords

heavy-tailed distributionsWeibull distributionfinite variances

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

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Cites Work

• Stable distributions for asset returns
• A general result on infinite divisibility
• Doubly stochastic Poisson processes
• A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes
• Weibull, RRSB or extreme-value theorists?
• Sur la distribution limite du terme maximum d'une série aléatoire
• Asymptotic Properties of Extrema of Compound Cox Processes and Their Applications to Some Problems of Financial Mathematics
• Empirical distributions of stock returns: between the stretched exponential and the power law?
• Modeling asset returns with alternative stable distributions^*
• Generalized Poisson Models and their Applications in Insurance and Finance
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
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