Fractional absolute moments of heavy tailed distributions

DOI10.1214/15-BJPS280zbMath1381.60039arXiv1301.4804OpenAlexW2963263521MaRDI QIDQ292942

Muneya Matsui, Zbyněk Pawlas

Publication date: 9 June 2016

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.4804

zbMATH Keywords

fractional derivativescharacteristic functionsinfinitely divisible distributionsfractional absolute momentsheavy tailed distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probability distributions: general theory (60E05) Fractional derivatives and integrals (26A33)

Related Items (8)

Truncated fractional moments of stable laws ⋮ Randomness and fractional stable distributions ⋮ Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination ⋮ Random walks in doubly random scenery ⋮ Prabhakar Lévy processes ⋮ Multidimensional Lévy white noise in weighted Besov spaces ⋮ Formulas of absolute moments ⋮ Testing for (in)finite moments

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