Cited in
(only showing first 100 items - show all)- Estimation for multivariate stable distributions with generalized empirical likelihood
- Conformal accelerations method and efficient evaluation of stable distributions
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- BIAS tooblox
- Asymptotic multivariate dominance: a financial application
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Practical computing for finite moment log-stable distributions to model financial risk
- Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations
- Asymptotic stochastic dominance rules for sums of i.i.d. random variables
- Cauchy noise removal by nonlinear diffusion equations
- scientific article; zbMATH DE number 1639862 (Why is no real title available?)
- LIMIT DISTRIBUTIONS OF SOME STEREOLOGICAL ESTIMATORS IN WICKSELL'S CORPUSCLE PROBLEM
- Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
- Fisher's Information for Discretely Sampled Lvy Processes
- scientific article; zbMATH DE number 2124902 (Why is no real title available?)
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
- Analysis of autoregressive models with symmetric stable innovations
- Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
- Space–Time Duality for Fractional Diffusion
- Applications of inverse tempered stable subordinators
- Diagnostic tests for non-causal time series with infinite variance
- Multivariate survival models with a mixture of positive stable frailties
- A Bayesian approach for estimating the parameters of an α-stable distribution
- Model identification for infinite variance autoregressive processes
- Sainte-Laguë’s chi-square divergence for the rounding of probabilities and its convergence to a stable law
- Volatility estimators for discretely sampled Lévy processes
- Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
- Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
- Measure of location-based estimators in simple linear regression
- On simulation and properties of the stable law
- First-passage properties of asymmetric Lévy flights
- scientific article; zbMATH DE number 5010400 (Why is no real title available?)
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
- Multivariate stable densities as functions of one dimensional projections
- Why do we need probability distributions with fat tails to describe the surface strain evolution in reinforced concrete flexural members?
- The influence of power law distributions on long-range trial dependency of response times
- Estimating the codifference function of linear time series models with infinite variance
- Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
- scientific article; zbMATH DE number 1301893 (Why is no real title available?)
- 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
- Stable Laws and the Present Value of Fixed Cash Flows
- A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
- 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.
- A contemporary review and bibliography of infinitely divisible distributions and processes
- Flexible two-point selection approach for characteristic function-based parameter estimation of stable laws
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
- Anomalous diffusion with ballistic scaling: a new fractional derivative
- ICA by Maximizing Non-stability
- 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
- 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
- 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
- Portfolio selection with stable distributed returns
- Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case
- scientific article; zbMATH DE number 5010398 (Why is no real title available?)
- Cauchy noise removal by nonconvex ADMM with convergence guarantees
- Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
- Best unbiased prediction of order statistics in stable distributions
- An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution
- Applications of the characteristic function-based continuum GMM in finance
- Estimating stable latent factor models by indirect inference
- Variational approach for restoring blurred images with Cauchy noise
- Robust option pricing
- Modelling operational risk using Bayesian inference.
- zTest for the significance of the mean of a stable probability distribution with 1<α≤2
- Wavelet-based estimation for univariate stable laws
- Cauchy noise removal by weighted nuclear norm minimization
- A statistical analysis of probabilistic counting algorithms
- Parameterizations and modes of stable distributions
- A robustness evaluation of Bayesian tests for longitudinal data
- Estimation of the characteristic exponent of stable laws
- Data analysis for heavy tailed multivariate samples
- Models for dependent extremes using stable mixtures
- scientific article; zbMATH DE number 1532383 (Why is no real title available?)
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- RiskMetrics
- Robust queueing theory
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