Classification rules for stable distributions (Q1600527)
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scientific article; zbMATH DE number 1755428
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| English | Classification rules for stable distributions |
scientific article; zbMATH DE number 1755428 |
Statements
Classification rules for stable distributions (English)
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13 June 2002
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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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\(\alpha\)-stable distribution
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apparent error rate
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classification rule
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quantile-based discrimination
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tail probability
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0.7962795495986938
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0.7844631671905518
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0.7742327451705933
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0.7688877582550049
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0.765848696231842
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