The exact distribution of the sum of stable random variables

Saralees Nadarajah, Stephen Chan

    Research output: Contribution to journalArticlepeer-review

    Abstract

    The exact distribution of the sum of any number of independent stable random variables is derived. The probability density function of the exact distribution turns out to be sum of two multivariate [Formula presented] functions. Computational issues and a data application are discussed.

    Original languageEnglish
    Pages (from-to)187-196
    Number of pages10
    JournalJournal of Computational and Applied Mathematics
    Volume349
    Early online date5 Oct 2018
    DOIs
    Publication statusPublished - 15 Mar 2019

    Keywords

    • Characteristic function
    • Mathematica
    • Multivariate [Formula presented] function

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