Stable and generalized-t distributions and applications

被引：15

作者：

Rathie, P. N. ^{[1
]}

Coutinho, M. ^{[1
]}

Sousa, T. R. ^{[1
]}

Rodrigues, G. S. ^{[1
]}

Carrijo, T. B. ^{[1
]}

机构：

[1] Univ Brasilia, Dept Stat, BR-70910900 Brasilia, DF, Brazil

来源：

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2012年 / 17卷 / 12期

关键词：

Stable and generalized-t distributions; chi(2)-Divergence; Time series analysis; Financial data; Sunspots; Heavy tails;

D O I：

10.1016/j.cnsns.2012.05.013

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper a generalized-t distribution is introduced and used as an alternative to the symmetric stable distribution. To do so, the chi(2)-divergence is presented and minimized to approximate the symmetric stable distribution, as accurately as possible, by the generalized-t distribution. Kth moments for the generalized-t distribution function are given. The stable distribution is defined in terms of generalized hypergeometric functions. Five applications with natural data (sunspots activity), and financial data (stock exchange in Brazil, South Africa and Venezuela, and daily variation of Petrobras stock market) are analyzed. A time series analysis is used to eliminate data correlation in each data set, and then the distributions are used to fit the residuals of these models. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：5088 / 5096

页数：9

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