Product representations for random variables with Weibull distributions and their applications

DOI10.1007/s10958-016-3031-7zbMath1387.60024MaRDI 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 distributions; Weibull distribution; finite variances

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62E15: Exact distribution theory in statistics

60E05: Probability distributions: general theory

Related Items

Limit Distributions for Doubly Stochastically Rarefied Renewal Processes and Their Properties, On the rates of convergence to symmetric stable laws for distributions of normalized geometric random sums, Generalized negative binomial distributions as mixed geometric laws and related limit theorems, Scale mixtures of Fréchet distributions as asymptotic approximations of extreme precipitation

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
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item