The exact distribution of the sum of stable random variables

Saralees Nadarajah; Stephen Chan

doi:10.1016/j.cam.2018.09.044

The exact distribution of the sum of stable random variables

Saralees Nadarajah, Stephen Chan^*

^*Corresponding author for this work

American University of Sharjah

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	187-196
Number of pages	10
Journal	Journal of Computational and Applied Mathematics
Volume	349
Early online date	5 Oct 2018
DOIs	https://doi.org/10.1016/j.cam.2018.09.044
Publication status	Published - 15 Mar 2019

Keywords

Characteristic function
Mathematica
Multivariate [Formula presented] function

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10.1016/j.cam.2018.09.044

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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.",

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KW - Characteristic function

KW - Mathematica

KW - Multivariate [Formula presented] function

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JO - Journal of Computational and Applied Mathematics

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The exact distribution of the sum of stable random variables

Abstract

Keywords

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