Average sample number function for Pareto heavy tailed distributions

DOI10.1155/2013/938545MaRDI QIDQ469896zbMATH OpenOpenAlexWikidataFDO

Authors Boukhalfa El-Hafsi

Publication date 11 November 2014

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/938545

Mathematics Subject Classification ID

Large deviations (60F10)

Review text

Summary: The main purpose of this work is shortly to give the average sample number function after a sequential probability ratio test on the index parameter \(\alpha\) of stable densities, which we give a mean of the number of data required to take decision in the case \(1<\alpha<2\). We use the fact that the tails of Levy-stable distributions are asymptotically equivalent to a Pareto law for large data. Stable distributions are a rich class of probability distributions that allow skewness and heavy tails and have many intriguing mathematical properties. The lack of closed formulas for densities and distribution functions for all has been a major drawback to the use of stable distributions by practitioners, but few stable distributions have the analytical formula of their density functions which are Gauss, Levy, and Cauchy.

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Cites work

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Cited in

(1)

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Uses Software

• STABLE

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