Questions tagged [levy-distribution]

levy distribution is a stable fat-tailed distribution for non-negative data.

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Does Levy distribution has a conjugate prior?

I have searched a lot but can not find the conjugate prior of Levy distribution.
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1answer
28 views

Do the location and scale parameters always control the mean/median/mode and variance, respectively?

Does a location parameter always control the mean/median/mode values of a PDF? Does a scale parameter always control the variance of a PDF? If the answer to any of the above questions is yes, then ...
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How to simulate Lévy flights?

I found this code: ...
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32 views

Suspicious values during simulation of skewed stable random variables [closed]

I am using the Chambers-Mallows-Stuck method for simulation of skewed stable random variables http://www.sciencedirect.com/science/article/pii/0167715295001131. There are two equations, one for $\...
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Obtaining parameters for a scaled data set

I have a levy distribution parameters obtained for a set of data. I want to know an easy way to calculate the parameters for a new data set obtained by multiplying all the elements in the initial data ...
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88 views

Variance estimation for Levy process

Let $(X_t)$ be a Levy process. It then holds that $$ E(X_{t+\Delta} - X_t) = \Delta \nu, \\ V(X_{t+\Delta} - X_t) = \Delta \mu, $$ under sufficient regularity conditions in terms of moments. For ...
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306 views

Generalized linear model for Levy distribution with not complete data

I'm trying to build a model that would describe some process of payment and distribution of payments in time. I believe that time of payment has Levy distribution with probability density function: $ ...