Computing the probability density function of the stable Paretian distribution

Authors
Mittnik, S Doganoglu, T Chenyao, D
Citation
S. Mittnik et al., Computing the probability density function of the stable Paretian distribution, MATH COMP M, 29(10-12), 1999, pp. 235-240
Citations number
8
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICAL AND COMPUTER MODELLING
ISSN journal
08957177 → ACNP
Volume
29
Issue
10-12
Year of publication
1999
Pages
235 - 240
Database
ISI
SICI code
0895-7177(199905/06)29:10-12<235:CTPDFO>2.0.ZU;2-3
Abstract
The practical implementation of a stable Paretian model is a nontrivial tas k, because-with the exception of a few special cases-its probability densit y function cannot be expressed analytically. Here, we present an algorithm for calculating the probability density function of the asymmetric stable P aretian distribution. Due to the use of the Fast Fourier Transform, the alg orithm is computationally efficient, easily implemented, and of similar acc uracy as existing algorithms. (C) 1999 Elsevier Science Ltd. All rights res erved.