STABLE

swMATH4843MaRDI QIDQ17000FDOQ17000

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Cited In (only showing first 100 items - show all)

• Title not available (Why is that?)
• Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
• On simulation and properties of the stable law
• Multivariate stable densities as functions of one dimensional projections
• Title not available (Why is that?)
• Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?
• A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
• Estimating the codifference function of linear time series models with infinite variance
• Propagation speed of the maximum of the fundamental solution to the fractional diffusion-wave equation
• Fokker-Planck equations for stochastic dynamical systems with symmetric Lévy motions
• A contemporary review and bibliography of infinitely divisible distributions and processes
• ICA by Maximizing Non-stability
• Anomalous diffusion with ballistic scaling: a new fractional derivative
• Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
• Tractable stochastic analysis in high dimensions via robust optimization
• Numerical solutions for fractional reaction-diffusion equations
• Testing for independence in heavy-tailed time series using the codifference function
• A possible way of estimating options with stable distributed underlying asset prices
• Spectral estimation of the fractional order of a Lévy process
• Coarse graining, dynamic renormalization and the kinetic theory of shock clustering
• Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case
• Portfolio selection with stable distributed returns
• Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
• Cauchy noise removal by nonconvex ADMM with convergence guarantees
• Robust option pricing
• Modelling operational risk using Bayesian inference.
• Cauchy noise removal by weighted nuclear norm minimization
• Wavelet-based estimation for univariate stable laws
• Parameterizations and modes of stable distributions
• Models for dependent extremes using stable mixtures
• A framework for analyzing the robustness of movement models to variable step discretization
• Testing the stable Paretian assumption
• \(U\)-statistic for multivariate stable distributions
• Average sample number function for Pareto heavy tailed distributions
• Multivariate Exponential Power Distributions as Mixtures of Normal Distributions with Bayesian Applications
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Joint estimation for SDE driven by locally stable Lévy processes
• Optimal portfolios with end-of-period target
• Bayesian analysis of multivariate stable distributions using one-dimensional projections
• Variational Approach for Restoring Blurred Images with Cauchy Noise
• A heavy-tailed empirical Bayes method for replicated microarray data
• Integral representations of one-dimensional projections for multivariate stable densities
• Random numbers from the tails of probability distributions using the transformation method
• Rank-based testing in linear models with stable errors
• Fractional reproduction-dispersal equations and heavy tail dispersal kernels
• Numerical calculation of stable densities and distribution functions
• Estimation of the parameters of multivariate stable distributions
• Estimation of stable spectral measures
• \(N\)-dimensional fractional Fokker-Planck equation and its solutions for anomalous radial two-phase flow in porous media
• Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
• Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations
• Modeling chinese stock returns with stable distribution
• Conformal accelerations method and efficient evaluation of stable distributions
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables
• Estimation for multivariate stable distributions with generalized empirical likelihood
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
• Title not available (Why is that?)
• LIMIT DISTRIBUTIONS OF SOME STEREOLOGICAL ESTIMATORS IN WICKSELL'S CORPUSCLE PROBLEM
• Fisher's Information for Discretely Sampled Lvy Processes
• Robust Queueing Theory
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
• Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
• Space–Time Duality for Fractional Diffusion
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
• Applications of inverse tempered stable subordinators
• Diagnostic tests for non-causal time series with infinite variance
• Sainte-Laguë’s chi-square divergence for the rounding of probabilities and its convergence to a stable law
• First-passage properties of asymmetric Lévy flights
• Volatility estimators for discretely sampled Lévy processes
• Model identification for infinite variance autoregressive processes
• Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
• Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
• The influence of power law distributions on long-range trial dependency of response times
• Stable Laws and the Present Value of Fixed Cash Flows
• Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
• Margrabe's option to exchange in a Paretian-stable subordinated market.
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• The use of non-normal distributions in quantifying qualitative survey data on expectations.
• On tails of symmetric and totally asymmetric alpha-stable distributions
• Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
• Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
• A nonlinear population Monte Carlo scheme for the Bayesian estimation of parameters of \(\alpha\)-stable distributions
• Connecting complexity with spectral entropy using the Laplace transformed solution to the fractional diffusion equation
• Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
• Title not available (Why is that?)
• Best unbiased prediction of order statistics in stable distributions
• Applications of the characteristic function-based continuum GMM in finance
• An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution
• Estimating stable latent factor models by indirect inference
• zTest for the significance of the mean of a stable probability distribution with 1<α≤2
• A statistical analysis of probabilistic counting algorithms
• A robustness evaluation of Bayesian tests for longitudinal data
• Estimation of the characteristic exponent of stable laws
• Data analysis for heavy tailed multivariate samples
• Title not available (Why is that?)
• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics

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