A continuous representation of the family of stable law distributions

Cheng, R.C.H. and Liu, W.B. (1997) A continuous representation of the family of stable law distributions Journal of the Royal Statistical Society: Series B (Statistical Methodology), 59, (1), pp. 137-145. (doi:10.1111/1467-9868.00059).


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Conventional parametric representations of stable law distributions do not allow all members of the family to be obtained as continuous limits of the parameters. Model building (or simulation) using such representations will be numerically unstable near such limits in consequence. Existing tables are not satisfactory near such limits as interpolation cannot be carried out. We show that these difficulties are overcome by using a new shifted Cartesian representation which characterizes the entire stable law family in a completely continuous way. Standardization is still possible with this representation so that tabulation, using just two bounded parameters, can be carried out. Its use is illustrated in a non-regular threshold estimation problem involving stable distributions which are discontinuous limits in conventional representations.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1111/1467-9868.00059
ISSNs: 1369-7412 (print)
Organisations: Operational Research
ePrint ID: 29712
Date :
Date Event
Date Deposited: 03 May 2007
Last Modified: 16 Apr 2017 22:21
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/29712

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