Fractional moment estimation of Linnik and Mittag-Leffler parameters

DOI10.1016/S0895-7177(01)00115-7zbMath1003.62018OpenAlexW2071229678WikidataQ127208591 ScholiaQ127208591MaRDI QIDQ1600524

Tomasz J. Kozubowski

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00115-7

zbMATH Keywords

heavy-tailed distributionsimulationsmixturesrandom summationMittag-Leffler distributionsgeometric stable distributionsLinnik distributions

Mathematics Subject Classification ID

Related Items (20)

A PATHWAY MODEL OF MITTAG-LEFFLER DISTRIBUTIONS AND RELATED PROCESSES ⋮ Statistical inference for inter-arrival times of extreme events in bursty time series ⋮ Fractional absolute moments of heavy tailed distributions ⋮ Estimation of Mittag-Leffler Parameters ⋮ An estimation procedure for the Linnik distribution ⋮ Competing risks driven by Mittag-Leffler distributions, under copula and time transformed exponential model ⋮ A note on the Cauchy-type mixture distributions ⋮ Matrix Mittag-Leffler distributions and modeling heavy-tailed risks ⋮ A stochastic method for solving time-fractional differential equations ⋮ Continuous time random walk model with asymptotical probability density of waiting times via inverse Mittag-Leffler function ⋮ The multifaceted behavior of integrated supOU processes: the infinite variance case ⋮ A bivariate infinitely divisible distribution with exponential and Mittag-Leffler marginals ⋮ Estimation and Simulation of the Riesz-Bessel Distribution ⋮ Generalized negative binomial distributions as mixed geometric laws and related limit theorems ⋮ Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals ⋮ Lamperti-type laws ⋮ Optimal predictive densities and fractional moments ⋮ Random numbers from the tails of probability distributions using the transformation method ⋮ Tempered Mittag-Leffler Lévy processes ⋮ Confined random motion with Laplace and Linnik statistics

Cites Work

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• Integral and asymptotic representations of geo-stable densities
• Analytic and asymptotic properties of Linnik's probability densities. II
• Analytic and asymptotic properties of Linnik's probability densities. I
• A mixture representation of the Linnik distribution
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• ON CHARACTERIZATIONS THROUGH MIXED SUMS
• Modeling asset returns with alternative stable distributions^*
• Linnik distributions and processes
• The first-order autoregressive Mittag–Leffler process
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