Numerical calculation of stable densities and distribution functions

From MaRDI portal
Publication:4371854

DOI10.1080/15326349708807450zbMath0899.60012OpenAlexW1975836976WikidataQ56456754 ScholiaQ56456754MaRDI QIDQ4371854

John P. Nolan

Publication date: 21 January 1998

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349708807450



Related Items

Bayesian inversion with α-stable priors, Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models, Color image restoration with mixed Gaussian-Cauchy noise and blur, Distribution of noise in linear recurrent fractal interpolation functions for data sets with \(\alpha\)-stable noise, A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables, Stable Laws and the Present Value of Fixed Cash Flows, Inference based on adaptive grid selection of probability transforms, Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations, Practical computing for finite moment log-stable distributions to model financial risk, Asymptotic stochastic dominance rules for sums of i.i.d. random variables, Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models, Measure of location-based estimators in simple linear regression, On alpha stable distribution of wind driven water surface wave slope, Bayesian Stable Mixture Model of State Densities of Generalized Chua's Circuit, First-passage properties of asymmetric Lévy flights, Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs, Connecting complexity with spectral entropy using the Laplace transformed solution to the fractional diffusion equation, Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood, Estimation of the parameters of multivariate stable distributions, Fourier-type estimation of the power GARCH model with stable-Paretian innovations, Robust option pricing, An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution, Robust Queueing Theory, Variational Approach for Restoring Blurred Images with Cauchy Noise, A robustness evaluation of Bayesian tests for longitudinal data, Propagation speed of the maximum of the fundamental solution to the fractional diffusion-wave equation, Spectral estimation of the fractional order of a Lévy process, Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise, A Statistical Analysis of Probabilistic Counting Algorithms, Randomness and fractional stable distributions, A framework for analyzing the robustness of movement models to variable step discretization, A Bayesian approach for estimating the parameters of an α-stable distribution, Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics, Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes, Stable Autoregressive Models and Signal Estimation, Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws, \(U\)-statistic for multivariate stable distributions, A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions, Asymptotics of maximum likelihood estimation for stable law with continuous parameterization, Estimation of the characteristic exponent of stable laws, Wavelet-based estimation for univariate stable laws, Ruin probabilities for two collaborating insurance companies, Asymptotic multivariate dominance: a financial application, Best unbiased prediction of order statistics in stable distributions, Cauchy noise removal by weighted nuclear norm minimization, Privacy protection with heavy-tailed noise for linear dynamical systems, Some analytical results on bivariate stable distributions with an application in operational risk, Applications of the characteristic function-based continuum GMM in finance, Likelihood-free Bayesian inference for \(\alpha\)-stable models, Diagnostic tests for non-causal time series with infinite variance, Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, Multivariate Exponential Power Distributions as Mixtures of Normal Distributions with Bayesian Applications, Indirect Estimation of α-Stable Distributions and Processes, Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?, Banks' criterion and symmetric stable laws with index of stability between one-half and one, A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL, A stable limit law for recurrence times of the simple random walk on the two-dimensional integer lattice, Joint estimation for SDE driven by locally stable Lévy processes, LÉVY-STABLE PRODUCTIVITY SHOCKS, Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process, Fractional reproduction-dispersal equations and heavy tail dispersal kernels, Bayesian analysis of multivariate stable distributions using one-dimensional projections, Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes, Stable and generalized-\(t\) distributions and applications, Total variation and high-order total variation adaptive model for restoring blurred images with Cauchy noise, The influence of power law distributions on long-range trial dependency of response times, Parameterizations and modes of stable distributions, Cauchy noise removal by nonlinear diffusion equations, Modeling chinese stock returns with stable distribution, zTest for the significance of the mean of a stable probability distribution with 1<α≤2, Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws, Average sample number function for Pareto heavy tailed distributions, Improved inference in the evaluation of mutual fund performance using panel bootstrap methods, Applications of inverse tempered stable subordinators, Analysis of autoregressive models with symmetric stable innovations, Fokker-Planck equations for stochastic dynamical systems with symmetric Lévy motions, Delta hedging strategies comparison, Numerical solutions for fractional reaction-diffusion equations, Cauchy noise removal by nonconvex ADMM with convergence guarantees, Maximum likelihood estimation for symmetric α-stable Ornstein–Uhlenbeck processes, Anomalous diffusion with ballistic scaling: a new fractional derivative, Estimating stable latent factor models by indirect inference, Calibrated FFT-based density approximations for \(\alpha\)-stable distributions, One-step R-estimation in linear models with stable errors, Model identification for infinite variance autoregressive processes, Estimation for multivariate stable distributions with generalized empirical likelihood, Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions, A heavy-tailed empirical Bayes method for replicated microarray data, Indirect estimation of \(\alpha \)-stable stochastic volatility models, Filtering and estimation for a class of stochastic volatility models with intractable likelihoods, Tractable stochastic analysis in high dimensions via robust optimization, Conformal accelerations method and efficient evaluation of stable distributions, Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach, Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives, Volatility estimators for discretely sampled Lévy processes, Integral representations of one-dimensional projections for multivariate stable densities, ICA by Maximizing Non-stability, Multifractal and Levy-stable statistics of soil surface moisture distribution derived from 2D image analysis, Remarks on the stable \(S_{\alpha}(\beta, \gamma, \mu)\) distribution, Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics, Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach, Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach, Multivariate stable densities as functions of one dimensional projections, \(N\)-dimensional fractional Fokker-Planck equation and its solutions for anomalous radial two-phase flow in porous media, Optimal portfolios with end-of-period target, Space–Time Duality for Fractional Diffusion, Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions, Random numbers from the tails of probability distributions using the transformation method, Testing the stable Paretian assumption, Estimation of stable spectral measures, Margrabe's option to exchange in a Paretian-stable subordinated market., Stable modeling of value at risk, The use of non-normal distributions in quantifying qualitative survey data on expectations., On simulation and properties of the stable law, On tails of symmetric and totally asymmetric alpha-stable distributions


Uses Software