Lévy flight approximations for scaled transformations of random walks

DOI10.1016/J.CSDA.2007.01.019zbMath1445.60038OpenAlexW1966517550MaRDI QIDQ1020740

Raul Matsushita, Pushpa N. Rathie, Cira E. Guevara Otiniano, Chang Chung Yu Dorea

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.01.019

zbMATH Keywords

foreign exchange ratesstability indexLévy flightsHill's estimate

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50)

Related Items (3)

Earnings distributions of scalable vs. non-scalable occupations ⋮ Riemann and Weierstrass walks revisited ⋮ Stable and generalized-\(t\) distributions and applications

Cites Work

• A simple general approach to inference about the tail of a distribution
• Exponentially damped Lévy flights
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
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