On the Parametrization of the Afocal Stable Distributions

DOI10.1112/BLMS/28.6.651zbMATH Open0853.60014OpenAlexW2161029331MaRDI QIDQ4896099FDOQ4896099

Authors: J. Huston McCulloch 

Publication date: 1 December 1996

Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/blms/28.6.651

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zbMATH Keywords

characteristic functionafocal stable distributionsalpha-stable Lévy motion

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Asymptotic distribution theory in statistics (62E20)

Cited In (8)

• Distribution probability of force for a physical system of N random particles
• Tests for cointegration with infinite variance errors
• Parameterizations and modes of stable distributions
• Multi-tail generalized elliptical distributions for asset returns
• Exact confidence sets and goodness-of-fit methods for stable distributions
• Stable and semistable probability measures on convex cone
• Econometric methods for derivative securities and risk management
• Precise tabulation of the maximally-skewed stable distributions and densities

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