Operator geometric stable laws
Operator geometric stable laws are the weak limits of operator normed and centered geometric random sums of independent, identically distributed random vectors. They generalize operator stable laws and geometric stable laws. In this work we characterize operator geometric stable distributions, their divisibility and domains of attraction, and present their application to finance. Operator geometric stable laws are useful for modeling financial portfolios where the cumulative price change vectors are sums of a random number of small random shocks with heavy tails, and each component has a different tail index.
Year of publication: |
2005
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Authors: | Kozubowski, Tomasz J. ; Meerschaert, Mark M. ; Panorska, Anna K. ; Scheffler, Hans-Peter |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 92.2005, 2, p. 298-323
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Publisher: |
Elsevier |
Keywords: | Currency exchange rates Domains of attraction Geometric stable law Heavy tails Infinite divisibility Linnik distribution Operator stable law Randomized sum Skew Laplace law Stability Stable distribution |
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