An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
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Publication:699425
DOI10.1016/S0895-7177(99)00105-3zbMATH Open1037.68973WikidataQ57452136 ScholiaQ57452136MaRDI QIDQ699425FDOQ699425
Publication date: 6 October 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Cites Work
- Tables and graphs of the stable probability density functions
- Cumulative distribution function values for symmetric standardized stable distributions
- Precise tabulation of the maximally-skewed stable distributions and densities
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Cited In (15)
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Dynamic portfolio optimization under multi-factor model in stochastic markets
- Portfolio optimization when risk factors are conditionally varying and heavy tailed
- Average sample number function for Pareto heavy tailed distributions
- Remarks on the stable \(S_{\alpha}(\beta, \gamma, \mu)\) distribution
- Mutual fund performance evaluation using data envelopment analysis with new risk measures
- Computing the probability density function of the stable Paretian distribution
- Bayesian Inference Using Artificial Augmenting Regressions
- Random numbers from the tails of probability distributions using the transformation method
- One-step R-estimation in linear models with stable errors
- Bayesian inversion with α-stable priors
- The ECF-WS estimator for univariate symmetric stable distributions with application in seismic trace signals
- Applications of a General Stable Law Regression Model
- Tempered stable Lévy motion and transient super-diffusion
- Diagnostic tests for non-causal time series with infinite variance
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