Sharp estimates on the tail behavior of a multistable distribution

Multistable stochastic integrals on R, have been introduced quite recently in Falconer and Liu (2012); they are defined through their characteristic functions. Roughly speaking, in a neighborhood of an arbitrary point x∈R, such an integral can be viewed as a usual stable stochastic integral, with a stability parameter α(x) depending on the location x.

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Year of publication:	2013
Authors:	Ayache, Antoine
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 3, p. 680-688
Publisher:	Elsevier
Subject:	Heavy-tailed distributions \| Variable exponent \| Stochastic integrals \| Characteristic functions \| Fourier methods

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039948