A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables

DOI10.1239/jap/1300198146zbMath1210.60023arXiv1005.2614OpenAlexW2148805304MaRDI QIDQ5391093

Murad S. Taqqu, Mark S. Veillette

Publication date: 5 April 2011

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

Full work available at URL: https://arxiv.org/abs/1005.2614

zbMATH Keywords

infinitely divisible distributionstochastic integrationstable distributionPost-Widder formula

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Computational methods for problems pertaining to probability theory (60-08) Characteristic functions; other transforms (60E10) Software, source code, etc. for problems pertaining to probability theory (60-04)

Related Items

Approximation and simulation of infinite-dimensional Lévy processes, Properties and numerical evaluation of the Rosenblatt distribution, The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula, Simulation methods and error analysis for trawl processes and ambit fields, Approximate simulation techniques and distribution of an extended gamma process, Distribution functions of Poisson random integrals: analysis and computation, Saddlepoint approximations for subordinator processes, Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables

Uses Software

• STABLE

Cites Work

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