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

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

3 Citations (Scopus)

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
Publication status	Published - Mar 2013
Externally published	Yes

Keywords

Fractional calculus
Generating densities
Hill-Yosida theorem
Stable distributions

Access to Document

10.1016/j.aml.2012.09.009

Link to publication in Scopus

Cite this

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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}",

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AU - Hashemiparast, S. M.

AU - Fabozzi, Frank J

AU - Kim, Young Shin

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KW - Fractional calculus

KW - Generating densities

KW - Hill-Yosida theorem

KW - Stable distributions

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