Calibrated FFT-based density approximations for \(\alpha\)-stable distributions

DOI10.1016/j.csda.2005.03.004zbMath1445.60018OpenAlexW1988957202MaRDI QIDQ959282

Christian Menn, Svetlozar T. Rachev

Publication date: 11 December 2008

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

Full work available at URL: https://doi.org/10.1016/j.csda.2005.03.004

zbMATH Keywords

fast Fourier transformationstable distributiondensity approximationBergström expansion

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Computational methods for problems pertaining to probability theory (60-08) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (11)

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Uses Software

• STABLE
• SYMSTB

Cites Work

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• Parameterizations and modes of stable distributions
• Computing the probability density function of the stable Paretian distribution
• Fast Fourier transforms: A tutorial review and a state of the art
• An approximation procedure for asymmetric stable Paretian densities
• Maximum likelihood estimation of stable Paretian models.
• On some expansions of stable distribution functions
• Stable Distributions in Statistical Inference: 2. Information from Stably Distributed Samples
• Numerical calculation of stable densities and distribution functions

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