کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9727553 1480204 2005 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On selfsimilar Lévy Random Probabilities
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
On selfsimilar Lévy Random Probabilities
چکیده انگلیسی
We explore a class of random probabilities induced by the normalization of selfsimilar Lévy Random Measures-random measures whose probability laws are governed by stable one-sided Lévy distributions. Various statistical properties of these random probabilities are analyzed: (i) moment structure; (ii) auto-covariance structure; (iii) one-dimensional and multidimensional tail-probabilities; and (iv) behavior in limiting cases. For the Lévy-Smirnoff case-corresponding to the selfsimilarity index of order 12 -an explicit analytic formula for the multidimensional probability density functions is derived. Last, a comparison between the class of selfsimilar Lévy Random Probabilities and the Dirichlet Random Probability (induced by the normalization of the Gamma Random Measure) is conducted, showing the former to be far more robust than the latter.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 356, Issues 2–4, 15 October 2005, Pages 207-240
نویسندگان
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