A formula for hidden regular variation behavior for symmetric stable distributions
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DOI: 10.1007/s10687-020-00381-4
Abstract: We develop a formula for the power-law decay of various sets for symmetric stable random vectors in terms of how many vectors from the support of the corresponding spectral measure are needed to enter the… read more here.
Keywords: regular variation; symmetric stable; hidden regular; formula hidden ... See more keywords
Estimating the Logarithm of Characteristic Function and Stability Parameter for Symmetric Stable Laws
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DOI: 10.1007/s11009-021-09908-z
Abstract: Let $X_1,\ldots,X_n$ be an i.i.d. sample from symmetric stable distribution with stability parameter $\alpha$ and scale parameter $\gamma$. Let $\varphi_n$ be the empirical characteristic function. We prove an uniform large deviation inequality: given preciseness $\epsilon>0$… read more here.
Keywords: parameter; symmetric stable; characteristic function; stability parameter ... See more keywords