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Stable Probability Distributions and their Domains of Attraction

Author

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  • J.L. Geluk
  • Laurens F.M. de Haan

    (Erasmus University Rotterdam)

Abstract

The theory of stable probability distributions and their domains of attraction is derived in a direct way(avoiding the usual route via infinitely divisible distributions) using Fourier transforms. Regularly varyingfunctions play an important role in the exposition.

Suggested Citation

  • J.L. Geluk & Laurens F.M. de Haan, 1997. "Stable Probability Distributions and their Domains of Attraction," Tinbergen Institute Discussion Papers 97-089/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:19970089
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    File URL: https://papers.tinbergen.nl/97089.pdf
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    References listed on IDEAS

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    1. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Dombry, Clément & Jung, Paul, 2014. "A Lindeberg–Feller theorem for stable laws," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 198-203.

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