Abstract
The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.
Original language | English |
---|---|
Pages (from-to) | 339-354 |
Number of pages | 16 |
Journal | Econometric Theory |
Volume | 14 |
Issue number | 3 |
DOIs | |
State | Published - 1998 |