Classification rules for stable distributions

DOI10.1016/S0895-7177(01)00117-0MaRDI QIDQ1600527zbMATH OpenOpenAlexWikidataFDO

Authors R. Smith

Publication date 13 June 2002

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(01)00117-0

zbMATH Keywords

\(\alpha\)-stable distributionapparent error rateclassification rulequantile-based discriminationtail probability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Review text

Stable distributions are a popular model for stock prices. This paper is concerned with discrimination between two stable distributions, or with the classification of a new observation into one of two stable distributions. Estimation of parameters is considered. Quantile-based discrimination between two stable laws with the same (unknown) index \(\alpha\) is proposed. Fisher-type rules are described for the general case. Computer code in C is included. A numerical example is described.

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Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Modeling asset returns with alternative stable distributions^*

Cited in

(3)

• Learning algorithms may perform worse with increasing training set size: algorithm-data incompatibility
• On the probability distribution of stock indices
• Cluster analysis for stable processes

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