CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES

Stefan Mittnik, Svetlozar T. Rachev and Jeong-Ryeol Kim

Econometric Theory, 1998, vol. 14, issue 3, 339-354

Abstract: The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:03:p:339-354_14

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