Questions tagged [levy-distribution]
levy distribution is a stable fat-tailed distribution for non-negative data.
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Can the scale parameter produce a displacement?
I am doing some stuff with the SciPy's levy_stable distribution. The documentation says:
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Running maximum of $\sum_{1\leq k\leq n} X_i$ for Cauchy random variables $X_i$
Suppose $X_i$ are $\mathrm{Cauchy}(0,~\gamma)$ IID RV's and let $S_n=X_1+\cdots+X_n$ be their sum. Does an expression exist for the CDF of the running maximum up to an index $1 \leq k \leq n$?
Edit:
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How to interpret chi-square goodness of fit test results
I have some data from the S&P500 of daily returns. I'm not sure if I can show my graph, as I will be using it in my undergraduate paper, but it looks essentially the same as the histogram here:
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How to calculate Lévy random number
The calculation process of the Lévy distribution is:
$$\mathrm{L\acute{e}vy}(\beta) \sim \frac{\varphi \times u}{|v|^\frac{1}{\beta}}$$
where $\mathrm{L\acute{e}vy}(\beta)$ is a Lévy random number ...
JIN ZHANG
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Find the arrival time of the first among N Brownian particles
Based on the first-hitting-time concept, the random propagation time $Z$ taken by a Brownian particle to reach the destination at a distance $d$ follows the Levy distribution; and $\mathbb{E}[Z] = Var[...
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How to implement a survival function PDF?
I'm trying to generate a set of points whose separations are given by a Lévy flight. A source that I have (Peebles 1993) says that the process goes as
Starting from a [point] in space, place the ...
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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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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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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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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:
$ ...
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