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Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...
Fourier and Cauchy-Stieltjes transforms of power laws including stable distributions
Fourier transform Cauchy-Stieltjes transform stable distribution non-commutative probability Diophantine approximation
2011/9/15
Abstract: The Pareto distribution is a basic probability distribution which shows power-law behaviour and has various kinds of applications. In this paper, we introduce a class of probability measures...