Integral and asymptotic representations of geo-stable densities

L. B. Klebanov; J. A. Melamed; S. Mittnik; S. T. Rachev

doi:10.1016/0893-9659(96)00091-2

Integral and asymptotic representations of geo-stable densities

L. B. Klebanov, J. A. Melamed, S. Mittnik, S. T. Rachev

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

The fact that geo-stable distributions do not have an explicit representation causes severe difficulties in empirical work. Here, we provide representations for geometric-stable probability densities in terms of fast converging integrals.

Original language	English
Pages (from-to)	37-40
Number of pages	4
Journal	Applied Mathematics Letters
Volume	9
Issue number	6
DOIs	https://doi.org/10.1016/0893-9659(96)00091-2
State	Published - Nov 1996

Keywords

Asymptotic expansion
Characteristic function
Financial modeling
Geometric stable distribution
Probability density function

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10.1016/0893-9659(96)00091-2

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title = "Integral and asymptotic representations of geo-stable densities",

abstract = "The fact that geo-stable distributions do not have an explicit representation causes severe difficulties in empirical work. Here, we provide representations for geometric-stable probability densities in terms of fast converging integrals.",

keywords = "Asymptotic expansion, Characteristic function, Financial modeling, Geometric stable distribution, Probability density function",

author = "Klebanov, {L. B.} and Melamed, {J. A.} and S. Mittnik and Rachev, {S. T.}",

note = "Funding Information: The work of S. Mittnik was supported by a research grant from the Deutsche Forschungsgemeinschaft S. T. Rachev by an award of the Alexander-yon-Humboldt Foundation for Senior U.S. Scientists.",

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AU - Klebanov, L. B.

AU - Melamed, J. A.

AU - Mittnik, S.

AU - Rachev, S. T.

N1 - Funding Information: The work of S. Mittnik was supported by a research grant from the Deutsche Forschungsgemeinschaft S. T. Rachev by an award of the Alexander-yon-Humboldt Foundation for Senior U.S. Scientists.

PY - 1996/11

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N2 - The fact that geo-stable distributions do not have an explicit representation causes severe difficulties in empirical work. Here, we provide representations for geometric-stable probability densities in terms of fast converging integrals.

AB - The fact that geo-stable distributions do not have an explicit representation causes severe difficulties in empirical work. Here, we provide representations for geometric-stable probability densities in terms of fast converging integrals.

KW - Asymptotic expansion

KW - Characteristic function

KW - Financial modeling

KW - Geometric stable distribution

KW - Probability density function

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DO - 10.1016/0893-9659(96)00091-2

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VL - 9

SP - 37

EP - 40

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

IS - 6

ER -

Integral and asymptotic representations of geo-stable densities

Abstract

Keywords

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