Computing the probability density function of the stable Paretian distribution

DOI10.1016/S0895-7177(99)00106-5zbMath1003.60020MaRDI QIDQ699429

D. Chenyao, Stefan Mittnik, Toker Doganoglu

Publication date: 6 October 2002

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

zbMATH Keywords

fast Fourier transformfinancial modelingdensity approximationheavy-tailed datastable Paretian model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

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Cites Work

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• An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
• On distribution functions with a limiting stable distribution function
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Tables and graphs of the stable probability density functions
• Portfolio Analysis in a Stable Paretian Market

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