Sharp estimates on the tail behavior of a multistable distribution

Antoine Ayache

Statistics & Probability Letters, 2013, vol. 83, issue 3, 680-688

Abstract: Multistable stochastic integrals on R, have been introduced quite recently in Falconer and Liu (2012); they are defined through their characteristic functions. Roughly speaking, in a neighborhood of an arbitrary point x∈R, such an integral can be viewed as a usual stable stochastic integral, with a stability parameter α(x) depending on the location x.

Keywords: Heavy-tailed distributions; Variable exponent; Stochastic integrals; Characteristic functions; Fourier methods (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.11.016

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