Geometric stable distributions and laplace—weibull mixtures

S. T. Rachev, A. SenGupta

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

Geometric stable distributions with Laplace distribution playing the role of a “normal” law have been successfully used for modelling stock returns and commodity prices. We study the “stability” properties of Laplace and mixture of Laplace and Weibull and discuss the related rate-of-convergence problems.

Original languageEnglish
Pages (from-to)251-272
Number of pages22
JournalStatistics and Risk Modeling
Volume10
Issue number3
DOIs
StatePublished - Mar 1992

Keywords

  • mixtures
  • rate of convergence
  • stable distribution

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