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Informatika i Ee Primeneniya [Informatics and its Applications], 2012, Volume 6, Issue 1, Pages 3–11 (Mi ia178)  

This article is cited in 11 scientific papers (total in 11 papers)

Skew Student distributions, variance-gamma distributions and their generalizations as asymptotic approximations

V. Yu. Koroleva, I. A. Sokolovb

a M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
b Institute of Informatics Problems RAS
References:
Abstract: The paper demonstrates that skew Student distributions and (skew) variance-gamma distributions can appear as limit laws in rather simple limit theorems for regular statistics, in particular, in the scheme of random summation of random variables and, hence, can be regarded as asymptotic approximations to the distributions of many processes related to the evolution of complex systems.
Keywords: skew Student distribution; variance-gamma distribution; limit theorem; random sum; transfer theorem.
Document Type: Article
Language: Russian
Citation: V. Yu. Korolev, I. A. Sokolov, “Skew Student distributions, variance-gamma distributions and their generalizations as asymptotic approximations”, Inform. Primen., 6:1 (2012), 3–11
Citation in format AMSBIB
\Bibitem{KorSok12}
\by V.~Yu.~Korolev, I.~A.~Sokolov
\paper Skew Student distributions, variance-gamma distributions and their generalizations as asymptotic approximations
\jour Inform. Primen.
\yr 2012
\vol 6
\issue 1
\pages 3--11
\mathnet{http://mi.mathnet.ru/ia178}
Linking options:
  • https://www.mathnet.ru/eng/ia178
  • https://www.mathnet.ru/eng/ia/v6/i1/p3
  • This publication is cited in the following 11 articles:
    1. V. Yu. Korolev, A. I. Zeifman, A. Yu. Korchagin, “Nesimmetrichnye raspredeleniya Linnika kak predelnye zakony dlya sluchainykh summ nezavisimykh sluchainykh velichin s konechnymi dispersiyami”, Inform. i ee primen., 10:4 (2016), 21–33  mathnet  crossref  elib
    2. V. Yu. Korolev, A. Yu. Korchagin, I. A. Sokolov, “Obobschennye dispersionnye gamma-raspredeleniya kak modeli statisticheskikh zakonomernostei na finansovykh rynkakh”, Inform. i ee primen., 9:4 (2015), 14–28  mathnet  crossref  elib
    3. Korolev V.Yu., Korchagin A.Yu., Zeifman A.I., “Convergence of Nonhomogeneous Random Walks Generated By Compound Cox Processes To Generalized Variance-Gamma Levy Processes”, Dokl. Math., 92:1 (2015), 408–411  crossref  mathscinet  zmath  isi  elib
    4. V. Yu. Korolev, A. Yu. Korchagin, I. A. Sokolov, A. V. Chertok, “O rabotakh v oblasti modelirovaniya informatsionnykh potokov v sovremennykh vysokochastotnykh finansovykh prilozheniyakh”, Sistemy i sredstva inform., 24:4 (2014), 63–85  mathnet  crossref  elib
    5. V. Yu. Korolev, A. Yu. Korchagin, “Modifitsirovannyi setochnyi metod razdeleniya dispersionno-sdvigovykh smesei normalnykh zakonov”, Inform. i ee primen., 8:4 (2014), 11–19  mathnet  crossref  elib
    6. L. M. Zaks, V. Yu. Korolev, “Obobschennye dispersionnye gamma-raspredeleniya kak predelnye dlya sluchainykh summ”, Inform. i ee primen., 7:1 (2013), 105–115  mathnet
    7. V. Yu. Korolev, “Generalized hyperbolic laws as limit distributions for random sums”, Theory Probab. Appl., 58:1 (2014), 63–75  mathnet  crossref  crossref  mathscinet  zmath  isi  elib  elib
    8. V. E. Bening, L. M. Zaks, V. Yu. Korolev, “Otsenki skorosti skhodimosti raspredelenii sluchainykh summ k nesimmetrichnomu raspredeleniyu Styudenta”, Sistemy i sredstva inform., 22:1 (2012), 132–141  mathnet
    9. V. E. Bening, L. M. Zaks, V. Yu. Korolev, “Otsenki skorosti skhodimosti raspredelenii sluchainykh summ k dispersionnym gamma-raspredeleniyam”, Inform. i ee primen., 6:3 (2012), 69–73  mathnet
    10. I. A. Duchitskii, V. Yu. Korolev, I. A. Sokolov, “O tochnosti nekotorykh matematicheskikh modelei katastroficheski nakaplivayuschikhsya effektov pri prognozirovanii riska ekstremalnykh sobytii”, Inform. i ee primen., 6:4 (2012), 9–17  mathnet
    11. Korolev V.Yu., “O vzaimosvyazi obobschennogo raspredeleniya styudenta i dispersionnogo gamma-raspredeleniya pri statisticheskom analize vyborok sluchainogo ob'ema”, Doklady akademii nauk, 445:6 (2012), 622–622  mathscinet  zmath  elib
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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