Classification rules for stable distributions
type: Item
instance of: scholarly article
title: Classification rules for stable distributions
zbMATH Open document ID: 1005.60035
DOI: 10.1016/S0895-7177(01)00117-0
author: R. Smith
published in: Mathematical and Computer Modelling
publication date: 2002-06-13T00:00:00Z
review text: Stable distributions are a popular model for stock prices. This paper is concerned with discrimination between two stable distributions, or with the classification of a new observation into one of two stable distributions. Estimation of parameters is considered. Quantile-based discrimination between two stable laws with the same (unknown) index \(\alpha\) is proposed. Fisher-type rules are described for the general case. Computer code in C is included. A numerical example is described.
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 62H30
Mathematics Subject Classification ID: 62F10
zbMATH DE Number: 1755428
zbMATH Keywords: \(\alpha\)-stable distribution
zbMATH Keywords: apparent error rate
zbMATH Keywords: classification rule
zbMATH Keywords: quantile-based discrimination
zbMATH Keywords: tail probability
reviewed by: M. P. Quine
MaRDI profile type: Publication
cites work: Q3717907
cites work: Modeling asset returns with alternative stable distributions*
cites work: Q4301585
Wikidata QID: Q126408559
full work available at URL: s0895-7177(01)00117-0
OpenAlex ID: W1975890112
description: scientific article; zbMATH DE number 1755428