Stable Probability Distributions and their Domains of Attraction
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 varying functions play an important role in the exposition.
|Keywords||(generalised) regular variation, characteristic function, domain of attraction|
Geluk, J.L., & de Haan, L.F.M.. (1997). Stable Probability Distributions and their Domains of Attraction (No. TI 97-089/4). Retrieved from http://hdl.handle.net/1765/7796