Stable distributions
Numerical analysis and multi precision computational methods applied to the extant problems of Asian option pricing and simulating stable distributions and unit root densities
... into stable distributions including one-sided stable distributions, generalized one-sided stable distributions and two-sided stable ...different stable ...
346
A Bayesian Approach for Stable Distributions: Some Computational Aspects
... In this work, we study some computational aspects for the Bayesian analysis involving stable distributions. It is well known that, in general, there is no closed form for the probability density function of ...
10
Power Laws In Financial Markets: Scaling Exponent H And Alpha-Stable Distributions
... probability distributions have a close relationship with the power ...probability distributions of returns is much heavier than the normal distribution and proposed alpha-stable distributions ...
12
Correlation Smile Matching for CDO Tranches with α Stable Distributions and Fitted Archimedan Copulas
... derlying one-factor models based on conditional independence. We introduce the extension to stochastic correlation in Section 2.2. α-stable distributions, their properties and the re- sulting ...
23
Numerical evidence for phase transitions of NP complete problems for instances drawn from Lévy stable distributions
... L´evy-Stable distributions are attractive as a choice as, under some general conditions, they are the convergent distribution of sums of independent and identically distributed random variables 2 ...
139
The art of fitting financial time series with Levy stable distributions
... L´evy α-stable distributions are characterized by a power-law decay with index 0 < α ≤ 2. Fitting the tails of an empirical distribution with a power law is not simple at all. Weron has shown that some ...
18
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
... Fit the normal k-factor model using MCMC 25 to obtain posterior draws for , for , where is an a priori known bound on . For estimate univariate stable distributions for each time series . Take as proposal a ...
61
Bayesian Inference for Mixtures of Stable Distributions.
... of stable distributed stock prices can be attributed to Mandelbrot [22], Fama [13], [14] and Fama and Roll [15], ...propose stable distributions and give some statistical instruments for the ...
50
Particle filtering with alpha stable distributions
... α-stable distributions include atmospheric noise in radio links, ambient acoustic noise in underwater sonar and submarine communications, as well as lightening, switching transients and accidental hits in ...
5
Stable distributions as noise models for molecular communication
... Abstract—In this work, we consider diffusion-based molecular communication timing channels. Three different timing channels are presented based on three different modulation techniques, i.e., i) modulation of the release ...
7
On the confidence intervals of parametric functions for Distributions Generated by Symmetric Stable Laws
... The Stable Laws, introduced by Paul Levy in the 1920’s, form a rich class of probability distributions allowing heavy tails, skewness and have many other use- ful mathematical properties (Farbod and ...
9
Stable Cryptocurrencies
... The perverse cost and fee structure in the existing cryptocurrency market and stable cryptocurrencies’ ability to overcome those downsides can best be illustrated with a representative hypothetical. Imagine a ...
37
Multimodal Word Distributions
... Figure 1: Top: A Gaussian Mixture embed- ding, where each component corresponds to a dis- tinct meaning. Each Gaussian component is rep- resented by an ellipsoid, whose center is specified by the mean vector and contour ...
12
Discrete multivariate distributions
... The multivariate generalizations of Binomial and Poisson distribution offered in the paper allow to consider any structure of dependences of the fixed set of events in sequence of independent multivariate tests and ...
13
Beta Bessel distributions
... We now illustrate an application of the proposed beta distributions to consumer price index data. We collected the data on this index for the six countries: United States, United Kingdom, Japan, Canada, Germany, ...
14
"Stuttering Poisson" distributions
... According to this, a compound Poisson results when we allow the Poisson parameter to be distributed, whilst a generalised Poisson results when we replace the generating variable s in the[r] ...
7
The stieltjes transform of distributions
... compact set of the complex plane not meeting the negative real axis, then for fixed non-negative integers m and k, there exists a constant B.. of the complex plane not meeting.[r] ...
18
Nuclear parton distributions
... We also remark that di ff erent nuclear e ff ects are related through a number of sum rules which reflect di ff erent global symmetries. In particular, the conservation of the valence quark number links together the off-shell ...
14
On fundamental skew distributions
... stohasti representation for a fundamental skew-normal random vetor is also onsidered there. Suh representation is used to obtain the moments of these skew-normal random vetors, and[r] ...
23
Statistical distributions and their application
... Accordingly the estimates variance 6" of the mean and standard error of the daily rainfall distribution based on log-normal curve are given by Mean = 14.4 and standard deviation = 246.2 [r] ...
76