Search Results - subject:"Levy Distribution"

What happens if in the principal component analysis the Pearsonian is replaced by the Brownian coefficient of correlation?

Mishra, Sudhanshu K - Volkswirtschaftliche Fakultät, … - 2014

The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property that when it is zero, it guarantees independence. This paper investigates into the effects and advantages, if any, of replacement of the Pearsonian coefficient of correlation (r)...

Persistent link: https://www.econbiz.de/10011111127

Is the Pareto-Lévy law a good representation of income distributions?

Dagsvik, John K.; Jia, Zhiyang; Vatne, Bjørn H.; Zhu, … - 2011

income distributions. We argue in this paper that the Pareto-Lévy distribution is an interesting candidate for representing … distribution. We subsequently use wage and income data for Norway and seven other OECD countries to fit the Pareto- Lévy … distribution as well as the Generalized Beta type II (GB2) distribution. The results show that the Pareto-Lévy distribution fits …

Persistent link: https://www.econbiz.de/10010335592

Levy Subordinator Model of Default Dependency

Balakrishna, B S - Volkswirtschaftliche Fakultät, … - 2010

probability distribution function known as the Levy distribution. The model provides a reasonable fit to market data with two …

Persistent link: https://www.econbiz.de/10008560493