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Details for article 7 of 19 found articles
| Title: |
Calculation of multidimensional stable densities |
| Author: |
Nolan, John P. Rajput, Balram |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 24 (1995) nr. 3 pages 551-566 |
| Year: |
1995 |
| Contents: |
Stable random variables are used in economics, engineering, hydrology and physics to model situations where the underlying distributions are heavy tailed. Stable densities do not generally have explicit formula, even in one variable. This paper describes the steps necessary to calculate multivariate stable densities by numerically inverting the characteristic function. We give a program tocalculate two dimensional stable densites that uses a recent two dimensional adaptive quadratureroutine. Graphs of families of such densities are given for a range of values of a and various spectral measures |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 7 of 19 found articles
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