On a new class of tempered stable distributions: moments and regular variation

DOI10.1239/JAP/1354716655zbMATH Open1269.60018arXiv1109.1028OpenAlexW2034010887MaRDI QIDQ4903040FDOQ4903040

Authors: Michael Grabchak 

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: We extend the class of tempered stable distributions first introduced in Rosinski 2007. Our new class allows for more structure and more variety of tail behaviors. We discuss various subclasses and the relation between them. To characterize the possible tails we give detailed results about finiteness of various moments. We also give necessary and sufficient conditions for the tails to be regularly varying. This last part allows us to characterize the domain of attraction to which a particular tempered stable distribution belongs.

Full work available at URL: https://arxiv.org/abs/1109.1028

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zbMATH Keywords

tempered stable distributionregular variationdomain of attractiontail behaviourinfinite divisible lawRosiński measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

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Cited In (22)

• Simulation of Tempered Stable Lévy Bridges and Its Applications
• Discussion of `On simulation and properties of the stable law' by Devroye and James
• Tempered stable distributions. Stochastic models for multiscale processes
• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• Modelling tail risk with tempered stable distributions: an overview
• Estimation and simulation for multivariate tempered stable distributions
• Rejection sampling for tempered Lévy processes
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
• Limit theorems and phase transitions for two models of summation of independent identically distributed random variables with a parameter
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• Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Tempered infinitely divisible distributions and processes

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