2018•Journal of Applied ProbabilityOpen access

Domains of attraction for positive and discrete tempered stable distributions

Michael Grabchak

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Abstract

Abstract We introduce a large and flexible class of discrete tempered stable distributions, and analyze the domains of attraction for both this class and the related class of positive tempered stable distributions. Our results suggest that these are natural models for sums of independent and identically distributed random variables with tempered heavy tails, i.e. tails that appear to be heavy up to a point, but ultimately decay faster.

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Abstract We introduce a large and flexible class of discrete tempered stable distributions, and analyze the domains of attraction for both this class and the related class of positive tempered stable distributions. Our results suggest that these are natural models for sums of independent and identically distributed random variables with tempered heavy tails, i.e. tails that appear to be heavy up to a point, but ultimately decay faster.

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Available abstract

Abstract We introduce a large and flexible class of discrete tempered stable distributions, and analyze the domains of attraction for both this class and the related class of positive tempered stable distributions. Our results suggest that these are natural models for sums of independent and identically distributed random variables with tempered heavy tails, i.e. tails that appear to be heavy up to a point, but ultimately decay faster.

Key concepts: Attraction, Heavy-tailed distribution, Class (philosophy), Mathematics, Stable distribution, Independent and identically distributed random variables, Statistical physics, Point (geometry)

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