Multivariate stable distributions and generating densities

Hassan Fallahgoul; S. M. Hashemiparast; Frank J. Fabozzi; Young Shin Kim

doi:10.1016/j.aml.2012.09.009

Multivariate stable distributions and generating densities

Hassan Fallahgoul
, S. M. Hashemiparast
, Frank J. Fabozzi
, Young Shin Kim

Dean's Office, College of Business

Stony Brook University

K.N. Toosi University of Technology
EDHEC Business School

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

4 Scopus citations

Abstract

The probability density function of multivariate stable distributions only applies to special accessible cases. Consequently, because of the absence of an explicit solution for their probability distribution function, applications have been limited. In this paper, we present an analytic method for generating densities to resolve this problem. Some examples and special cases are discussed.

Original language	English
Pages (from-to)	324-329
Number of pages	6
Journal	Applied Mathematics Letters
Volume	26
Issue number	3
DOIs	https://doi.org/10.1016/j.aml.2012.09.009
State	Published - Mar 2013

Keywords

Fractional calculus
Generating densities
Hill-Yosida theorem
Stable distributions

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10.1016/j.aml.2012.09.009

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title = "Multivariate stable distributions and generating densities",

abstract = "The probability density function of multivariate stable distributions only applies to special accessible cases. Consequently, because of the absence of an explicit solution for their probability distribution function, applications have been limited. In this paper, we present an analytic method for generating densities to resolve this problem. Some examples and special cases are discussed.",

keywords = "Fractional calculus, Generating densities, Hill-Yosida theorem, Stable distributions",

author = "Hassan Fallahgoul and Hashemiparast, \{S. M.\} and Fabozzi, \{Frank J.\} and Kim, \{Young Shin\}",

year = "2013",

month = mar,

doi = "10.1016/j.aml.2012.09.009",

language = "English",

volume = "26",

pages = "324--329",

journal = "Applied Mathematics Letters",

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T1 - Multivariate stable distributions and generating densities

AU - Fallahgoul, Hassan

AU - Hashemiparast, S. M.

AU - Fabozzi, Frank J.

AU - Kim, Young Shin

PY - 2013/3

Y1 - 2013/3

N2 - The probability density function of multivariate stable distributions only applies to special accessible cases. Consequently, because of the absence of an explicit solution for their probability distribution function, applications have been limited. In this paper, we present an analytic method for generating densities to resolve this problem. Some examples and special cases are discussed.

AB - The probability density function of multivariate stable distributions only applies to special accessible cases. Consequently, because of the absence of an explicit solution for their probability distribution function, applications have been limited. In this paper, we present an analytic method for generating densities to resolve this problem. Some examples and special cases are discussed.

KW - Fractional calculus

KW - Generating densities

KW - Hill-Yosida theorem

KW - Stable distributions

UR - https://www.scopus.com/pages/publications/84869491062

U2 - 10.1016/j.aml.2012.09.009

DO - 10.1016/j.aml.2012.09.009

M3 - Article

SN - 0893-9659

VL - 26

SP - 324

EP - 329

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

IS - 3

ER -

Multivariate stable distributions and generating densities

Abstract

Keywords

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