Stable Distributions



24


Bibliography

Hill, B. M. (1975). A simple general approach to inference about the tail of a
distribution,
Annals of Statistics 3: 1163-1174.

Janicki, A. and Weron, A. (1994). Simulation and Chaotic Behavior of α-Stable
Stochastic Processes
, Marcel Dekker.

Kanter, M. (1975). Stable densities under change of scale and total variation
inequalities,
Annals of Probability 3: 697-707.

Koutrouvelis, I. A. (1980). Regression-type estimation of the parameters of
stable laws,
Journal of the American Statistical Association 75: 918-928.

Kogon, S. M. and Williams, D. B. (1998). Characteristic function based esti-
mation of stable parameters,
in R. Adler, R. Feldman, M. Taqqu (eds.),
A Practical Guide to Heavy Tails, Birkhauser, pp. 311-335.

Levy, P. (1925). Calcul des Probabilites, Gauthier Villars.

Mandelbrot, B. B. (1963). The variation of certain speculative prices, Journal
of Business
36: 394-419.

Mantegna, R. N. and Stanley, H. E. (1995). Scaling behavior in the dynamics
of an economic index,
Nature 376: 46-49.

McCulloch, J. H. (1986). Simple consistent estimators of stable distribution
parameters,
Communications in Statistics - Simulations 15: 1109-1136.

McCulloch, J. H. (1996). Financial applications of stable distributions, in G. S.
Maddala, C. R. Rao (eds.),
Handbook of Statistics, Vol. 14, Elsevier, pp.
393-425.

McCulloch, J. H. (1997). Measuring tail thickness to estimate the stable index
α: A critique, Journal of Business & Economic Statistics 15: 74-81.

Mittnik, S., Doganoglu, T., and Chenyao, D. (1999). Computing the probability
density function of the stable Paretian distribution,
Mathematical and
Computer Modelling
29: 235-240.

Mittnik, S., Rachev, S. T., Doganoglu, T. and Chenyao, D. (1999). Maxi-
mum likelihood estimation of stable Paretian models,
Mathematical and
Computer Modelling
29: 275-293.

Nolan, J. P. (1997). Numerical calculation of stable densities and distribution
functions,
Communications in Statistics - Stochastic Models 13: 759-774.



More intriguing information

1. Constructing the Phylomemetic Tree Case of Study: Indonesian Tradition-Inspired Buildings
2. The name is absent
3. The name is absent
4. CAN CREDIT DEFAULT SWAPS PREDICT FINANCIAL CRISES? EMPIRICAL STUDY ON EMERGING MARKETS
5. The name is absent
6. Inflation and Inflation Uncertainty in the Euro Area
7. The name is absent
8. Quality Enhancement for E-Learning Courses: The Role of Student Feedback
9. Input-Output Analysis, Linear Programming and Modified Multipliers
10. Moffett and rhetoric