scientific article; zbMATH DE number 3947305

zbMATH Open0589.60015MaRDI QIDQ3717907FDOQ3717907

Publication date: 1986

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On a generalization of stable distributions

characteristic function stable distributions characterizations application of stable distributions estimation of stable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Cited In (only showing first 100 items - show all)

Persistence Probabilities and Exponents
The peeling process of infinite Boltzmann planar maps
On simulation and properties of the stable law
Multivariate stable densities as functions of one dimensional projections
A triptych of discrete distributions related to the stable law
Atypical case of the dielectric relaxation responses and its fractional kinetic equation
Uniqueness of translation-covariant zero-temperature metastate in disordered Ising ferromagnets
Estimation of the parameters of fractional-stable laws by the method of minimum distance
Portfolio selection problems consistent with given preference orderings
A simple robust estimation method for the thickness of heavy tails
Pricing CDO tranches in an intensity based model with the mean reversion approach
Indirect Estimation of α-Stable Distributions and Processes
Estimating the degree of activity of jumps in high frequency data
Heavy-tailedness and threshold sex determination
Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
Parameter estimation for fractional Poisson processes
Multiplicative strong unimodality for positive stable laws
Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
Fractional diffusion equations and processes with randomly varying time
Relaxation dynamics of the fastest channel in multichannel parallel relaxation mechanism
From Sturm-Liouville problems to fractional and anomalous diffusions
The fractional Fick's law for non-local transport processes
On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
Asymptotic analysis of average case approximation complexity of Hilbert space valued random elements
Ruin probabilities and overshoots for general Lévy insurance risk processes
Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
Modeling fat tails in stock returns: a multivariate stable-GARCH approach
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
Ergodic property of stable-like Markov chains
Fractional Moments of Solutions to Stochastic Recurrence Equations
The law of large numbers in a metric space with a convex combination operation
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Recurrence and transience criteria for two cases of stable-like Markov chains
Approximation of Lévy-Feller diffusion by random walk
Nonparametric inference for discretely sampled Lévy processes
Central limit theorem for a class of one-dimensional kinetic equations
Some probability densities and fundamental solutions of fractional evolution equations
Differentiable measures and the Malliavin calculus
Asymptotic and structural properties of special cases of the Wright function arising in probability theory
Asymptotic behaviour of first passage time distributions for Lévy processes
New families of subordinators with explicit transition probability semigroup
Moving-maximum models for extrema of time series
Fractional motions
The first passage time of a stable process conditioned to not overshoot
Simulation of the continuous time random walk of the space-fractional diffusion equations
A GARCH option pricing model with \(\alpha\)-stable innovations
Maximum likelihood estimation of stable Paretian models.
Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
Fractional stochastic active scalar equations generalizing the multi-dimensional quasi-geostrophic \& 2D-Navier-Stokes equations: the general case
On convergence of random walks generated by compound Cox processes to Lévy processes
Lévy Processes with Two-Sided Reflection
Fractional moment estimation of Linnik and Mittag-Leffler parameters
Probabilistic study of the speed of approach to equilibrium for an inelastic Kac model
Hölder-Lipschitz norms and their duals on spaces with semigroups, with applications to earth mover's distance
Classical scale mixtures of Boolean stable laws
Mellin convolution for subordinated stable processes
On simulation of tempered stable random variates
Modeling asset returns with alternative stable distributions^*
On the Laplace transform of the Fréchet distribution
Estimation of stable spectral measures
Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
Asymptotic properties of Brownian motion delayed by inverse subordinators
A stable Langevin model with diffusive-reflective boundary conditions
The first passage time problem over a moving boundary for asymptotically stable Lévy processes
Asymptotic estimates of multi-dimensional stable densities and their applications
Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
Infinite divisibility of random variables and their integer parts
Scaling limits of random planar maps with a unique large face
New properties and representations for members of the power-variance family. I
Analytic expressions for predictive distributions in mixture autoregressive models
Recurrence and transience property for a class of Markov chains
Estimates of tempered stable densities
Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
Estimating a Stability Parameter: Asymptotics and Simulations
Fractional absolute moments of heavy tailed distributions
Exponentially small expansions of the Wright function on the Stokes lines
Asymptotic distributions of continuous-time random walks: A probabilistic approach
Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
New properties and representations for members of the power-variance family. II
Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description
The wrapped stable family of distributions as a flexible model for circular data
Stochastic expansions using continuous dictionaries: Lévy adaptive regression kernels
Volatility estimators for discretely sampled Lévy processes
ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
Limit theorems for free Lévy processes
Notes on random walks in the Cauchy domain of attraction
Estimating the Renewal Function When the Second Moment Is Infinite
Positive stable densities and the bell-shape
A note on the asymptotic distribution of the \(F\)-statistic for random variables with infinite variance
Total positivity in stable semigroups
The impact of hierarchically constrained dynamics with a finite mean of cluster sizes on relaxation properties
Calculation of multidimensional stable densities
Likelihood-free Bayesian inference for \(\alpha\)-stable models
Well-posedness and regularity of the Cauchy problem for nonlinear fractional in time and space equations
Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
Almost isometric operators: functional model, invariant subspaces, commutant
Sub-exponential tail bounds for conditioned stable Bienaymé-Galton-Watson trees
Anomalous diffusion with ballistic scaling: a new fractional derivative

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