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

页码：339 / 354

页数：16

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