Chi-square-type distributions for heavy-tailed variates

被引：9
|
作者：
Mittnik, S
Rachev, ST
Kim, JR
机构：
[1] Univ Kiel, Inst Stat & Econometr, D-24098 Kiel, Germany
[2] Tech Univ Dresden, D-8027 Dresden, Germany
来源：
ECONOMETRIC THEORY | 1998年 / 14卷 / 03期
关键词：
D O I：
10.1017/S0266466698143037
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.
引用
收藏
页码：339 / 354
页数：16
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