On tails of symmetric and totally asymmetric -stable distributions

DOI10.37190/0208-4147.41.2.7MaRDI QIDQ5029387zbMATH OpenOpenAlexFDO

Authors Witold Bednorz, Rafał M. Łochowski, Rafał Martynek

Publication date 14 February 2022

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.00612

zbMATH Keywords

alpha-stable distributionstail estimates

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Inequalities; stochastic orderings (60E15)

Abstract: We estimate up to universal constants tails of symmetric and totally asymmetric 1-dimensional $alpha$-stable distributions in terms of functions of the parameters of these distributions. In particular, for values of $alpha$ close to $2$ we specify where exactly the tail changes from being Gaussian and starts to behave like in the Pareto distribution

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Cites work

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Cited in

(11)

• On moments and tail behavior of \(\nu\)-stable random variables
• Extremes of totally skewed \(\alpha \)-stable processes
• Symmetric \(\alpha\)-stable distributions with noninteger \(\alpha > 2\) and related stochastic processes
• Asymptotic properties of symmetric stable distributions with small index
• Sharp estimates on the tail behavior of a multistable distribution
• On the infinite divisibility of scale mixtures of symmetric α-stable distributions, α∈(0,1]
• Cylinder symmetric measures with the tail property
• Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?
• Tail behaviors of semi-stable distributions
• Average sample number function for Pareto heavy tailed distributions
• On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes

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• STABLE

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