CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES

B-Tier
Journal: Econometric Theory
Year: 1998
Volume: 14
Issue: 3
Pages: 339-354

Authors (3)

Mittnik, Stefan (Ludwig-Maximilians-Universität...) Rachev, Svetlozar T. (not in RePEc) Kim, Jeong-Ryeol (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.

Technical Details

RePEc Handle
repec:cup:etheor:v:14:y:1998:i:03:p:339-354_14
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-26