Characteristic Functions and the Tail Behavior of Probability Distributions

The theory of Fourier transforms of generalized functions is used to extract general formulas for the tail behavior of a probability distribution from the behavior of its characteristic function in the locality of the origin. The theory is applied to develop asymptotic formula for the tails of the stable distributions.

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Year of publication:	1980
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 622. Published in Canadian Journal of Economics (February 1985), 1: 58-65 The price is None Number 567 10 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004990842