Exact distribution of the product and the quotient of two stable Lévy random variables

DOI10.1016/j.cnsns.2015.11.012zbMath1470.60062OpenAlexW2181813789MaRDI QIDQ2198837

L. C. de S. M. Ozelim, Cira E. Guevara Otiniano, Pushpa N. Rathie

Publication date: 15 September 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2015.11.012

zbMATH Keywords

H-functionstable random variableproduct and quotient

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05) Numerical methods for integral transforms (65R10) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

Related Items (3)

Exact posterior computation in non-conjugate Gaussian location-scale parameters models ⋮ Computing the exact distribution of a linear combination of generalized logistic random variables and its applications ⋮ Exact and approximate expressions for the reliability of stable Lévy random variables with applications to stock market modelling

Uses Software

• Mathematica

Cites Work

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• Itô calculus extended to systems driven by \(\alpha \)-stable Lévy white noises (a novel clip on the tails of Lévy motion)
• The distribution of the product of powers of independent uniform random variables -- a simple but useful tool to address and better understand the structure of some distributions
• Distributions of the product and ratio of Maxwell and Rayleigh random variables
• Extreme value models with application to drought data
• The distribution of the product of two triangular random variables
• Product of \(n\) independent uniform random variables
• Probabilistic characterization of nonlinear systems under \(\alpha\)-stable white noise via complex fractional moments
• Stable and generalized-\(t\) distributions and applications
• Solutions of the Fractional Reaction Equation and the Fractional Diffusion Equation
• On the Distribution of the Product and the Sum of Generalized Shifted Gamma Random Variables

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