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Tables of cumulative distribution functions and percentiles of the standardized stable random variables

 

作者: Tsushung A. Hua,   M. Pourahmadi,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1984)
卷期: Volume 13, issue 5  

页码: 571-601

 

ISSN:0361-0918

 

年代: 1984

 

DOI:10.1080/03610918408812399

 

出版商: Marcel Dekker, Inc.

 

关键词: stable random variable;standardization;series expansion;integral representation;numerical integration;cumulative distribution functions;percentiles

 

数据来源: Taylor

 

摘要:

It is shown that Zolotarev's (1964) integral representation of the cumulative distribution function (c.d.f.) of stable random variables and the IMSL subroutine DCADRE (for numerical integration ) provide a natural and practically simple method for finding the values of c.d.f., the percentiles and the density function of such random variables. For symmetric stable random variables (r.v.'s ) Z∝, values of P∝(z) … P(0<Z∝<z) for z … 0(.02)4.08 and ∝=.1(.2)1.9, as well as percentiles of these r.v.'s for ∝=.5(.1)2 and the percentage points .6, .7(.05).85(.025).9(.01).96(.005).995, are presented. For asymmetric stable r.v.'s we present values of their c.d.f.'s for z … 0(.1)4, ß= −1(.25)1 and ∝=.1(.2)1.9. These result sare compared with related results of others which were obtained by using different procedure and standardization.

 

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