메뉴 건너뛰기




Volumn 93, Issue 1, 2013, Pages 242-251

A survey on computing Lévy stable distributions and a new MATLAB toolbox

Author keywords

Graphical user interface; L vy stable distributions; MATLAB toolbox; Signal processing

Indexed keywords

ANALYTICAL EXPRESSIONS; DATA FITTINGS; ENGINEERING FIELDS; HIGH DEMAND; MATLAB TOOLBOXES; NUMERICAL APPROACHES; NUMERICAL SOLUTION; OPEN SOURCE SOFTWARE; RANDOM NUMBERS; STABLE DISTRIBUTIONS; STATISTICAL QUANTITY;

EID: 84866365902     PISSN: 01651684     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.sigpro.2012.07.035     Document Type: Article
Times cited : (89)

References (45)
  • 1
    • 0001769081 scopus 로고    scopus 로고
    • Tail behavior, modes and other characteristics of stable distributions
    • H. Fofack, and J.P. Nolan Tail behavior, modes and other characteristics of stable distributions Extremes 2 1 1999 39 58
    • (1999) Extremes , vol.2 , Issue.1 , pp. 39-58
    • Fofack, H.1    Nolan, J.P.2
  • 2
    • 0035426649 scopus 로고    scopus 로고
    • Adaptive Bayesian decision feedback equaliser for alpha-stable noise environments
    • A.T. Georgiadis, and B. Mulgrew Adaptive Bayesian decision feedback equaliser for alpha-stable noise environments Signal Processing 81 8 2001 1603 1623
    • (2001) Signal Processing , vol.81 , Issue.8 , pp. 1603-1623
    • Georgiadis, A.T.1    Mulgrew, B.2
  • 4
    • 67349144668 scopus 로고    scopus 로고
    • A low complexity robust detector in impulsive noise
    • P.P. Pokharel, W.F. Liu, and J.C. Principe A low complexity robust detector in impulsive noise Signal Processing 89 10 2009 1902 1909
    • (2009) Signal Processing , vol.89 , Issue.10 , pp. 1902-1909
    • Pokharel, P.P.1    Liu, W.F.2    Principe, J.C.3
  • 5
    • 70449519399 scopus 로고    scopus 로고
    • Modelling with mixture of symmetric stable distributions using Gibbs sampling
    • D.S. Gonzalez, E.E. Kuruoglu, and D.P. Rulz Modelling with mixture of symmetric stable distributions using Gibbs sampling Signal Processing 90 3 2010 774 783
    • (2010) Signal Processing , vol.90 , Issue.3 , pp. 774-783
    • Gonzalez, D.S.1    Kuruoglu, E.E.2    Rulz, D.P.3
  • 6
    • 78049327638 scopus 로고    scopus 로고
    • FARIMA with stable innovations model of Great Salt Lake elevation time series
    • H. Sheng, and Y.Q. Chen FARIMA with stable innovations model of Great Salt Lake elevation time series Signal Processing 91 3 2011 553 561
    • (2011) Signal Processing , vol.91 , Issue.3 , pp. 553-561
    • Sheng, H.1    Chen, Y.Q.2
  • 8
    • 0001716583 scopus 로고
    • New methods in statistical economics
    • B. Mandelbrot New methods in statistical economics Journal of Political Economy 71 5 1963 421 440
    • (1963) Journal of Political Economy , vol.71 , Issue.5 , pp. 421-440
    • Mandelbrot, B.1
  • 9
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • E.F. Fama The behavior of stock market prices The Journal of Business 38 1 1965 34 105
    • (1965) The Journal of Business , vol.38 , Issue.1 , pp. 34-105
    • Fama, E.F.1
  • 10
    • 18844465932 scopus 로고    scopus 로고
    • Anomalous diffusion and Lévy flights in channeling
    • A.A. Greenenko, A.V. Chechkin, and N.F. Shul'ga Anomalous diffusion and Lévy flights in channeling Physics Letters A 324 1 2004 82 85
    • (2004) Physics Letters A , vol.324 , Issue.1 , pp. 82-85
    • Greenenko, A.A.1    Chechkin, A.V.2    Shul'Ga, N.F.3
  • 12
    • 0036887830 scopus 로고    scopus 로고
    • On some detection and estimation problems in heavy-tailed noise
    • S. Ananthram, and M.S. Brian On some detection and estimation problems in heavy-tailed noise Signal Processing 82 12 2002 1829 1846
    • (2002) Signal Processing , vol.82 , Issue.12 , pp. 1829-1846
    • Ananthram, S.1    Brian, M.S.2
  • 14
    • 19844375289 scopus 로고    scopus 로고
    • Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
    • R.L. Wolpert, and M.S. Taqqu Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: upstairs and downstairs Signal Processing 85 8 2005 1523 1545
    • (2005) Signal Processing , vol.85 , Issue.8 , pp. 1523-1545
    • Wolpert, R.L.1    Taqqu, M.S.2
  • 15
    • 32644450186 scopus 로고    scopus 로고
    • Stochastic gradient algorithms for equalisation in alpha stable noise
    • A. Georgiadis Stochastic gradient algorithms for equalisation in alpha stable noise Signal Processing 86 4 2005 835 845
    • (2005) Signal Processing , vol.86 , Issue.4 , pp. 835-845
    • Georgiadis, A.1
  • 16
    • 8344223565 scopus 로고
    • Scaling behavior in the dynamics of the economic index
    • R.N. Mantegna, and H.E. Stanley Scaling behavior in the dynamics of the economic index Nature 376 6 1995 46 49
    • (1995) Nature , vol.376 , Issue.6 , pp. 46-49
    • Mantegna, R.N.1    Stanley, H.E.2
  • 21
    • 0032084159 scopus 로고    scopus 로고
    • Parameterizations and modes of stable distributions
    • J.P. Nolan Parameterizations and modes of stable distributions Statistics & Probability Letters 38 2 1998 187 195
    • (1998) Statistics & Probability Letters , vol.38 , Issue.2 , pp. 187-195
    • Nolan, J.P.1
  • 22
    • 33747586747 scopus 로고    scopus 로고
    • Numerical calculation of stable densities and distribution functions
    • J.P. Nolan Numerical calculation of stable densities and distribution functions Communications in Statistics-Stochastic Models 13 4 1997 759 774
    • (1997) Communications in Statistics-Stochastic Models , vol.13 , Issue.4 , pp. 759-774
    • Nolan, J.P.1
  • 23
    • 0033133786 scopus 로고    scopus 로고
    • Computing the probability density function of the stable Paretian distribution
    • S. Mittnik, T. Doganoglu, and D. Chenyao Computing the probability density function of the stable Paretian distribution Mathematical and Computer Modeling 29 12 1999 235 240
    • (1999) Mathematical and Computer Modeling , vol.29 , Issue.12 , pp. 235-240
    • Mittnik, S.1    Doganoglu, T.2    Chenyao, D.3
  • 25
    • 0033133915 scopus 로고    scopus 로고
    • An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
    • J.P. Nolan An algorithm for evaluating stable densities in Zolotarev's (M) parameterization Mathematical and Computer Modelling 29 10-12 1999 229 233
    • (1999) Mathematical and Computer Modelling , vol.29 , Issue.1012 , pp. 229-233
    • Nolan, J.P.1
  • 26
    • 32444436416 scopus 로고    scopus 로고
    • Calibrated FFT-based density approximations for a-stable distributions
    • C. Menn, and S.T. Rachev Calibrated FFT-based density approximations for a-stable distributions Computational Statistics & Data Analysis 50 8 2006 1891 1904
    • (2006) Computational Statistics & Data Analysis , vol.50 , Issue.8 , pp. 1891-1904
    • Menn, C.1    Rachev, S.T.2
  • 27
    • 0000649102 scopus 로고
    • Stable densities under change of scale and total variation inequalities
    • M. Kanter Stable densities under change of scale and total variation inequalities Annals of Probability 3 4 1975 697 707
    • (1975) Annals of Probability , vol.3 , Issue.4 , pp. 697-707
    • Kanter, M.1
  • 29
    • 0030585552 scopus 로고    scopus 로고
    • On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    • R. Weron On the Chambers-Mallows-Stuck method for simulating skewed stable random variables Statistics and Probability Letters 28 2 1996 165 171
    • (1996) Statistics and Probability Letters , vol.28 , Issue.2 , pp. 165-171
    • Weron, R.1
  • 30
    • 33846143334 scopus 로고    scopus 로고
    • Computationally intensive value at Risk calculations
    • J.E. Gentle, W. Härdle, Y. Mori, Springer Berlin
    • R. Weron Computationally intensive value at Risk calculations J.E. Gentle, W. Härdle, Y. Mori, Handbook of Computational Statistics 2004 Springer Berlin 911 950
    • (2004) Handbook of Computational Statistics , pp. 911-950
    • Weron, R.1
  • 31
    • 0001263124 scopus 로고
    • A simple general approach to inference about the tail of a distribution
    • B.M. Hill A simple general approach to inference about the tail of a distribution The Annals of Statistics 3 5 1975 1163 1174
    • (1975) The Annals of Statistics , vol.3 , Issue.5 , pp. 1163-1174
    • Hill, B.M.1
  • 36
    • 38049084243 scopus 로고
    • Simple consistent estimators of stable distribution parameters
    • J.H. McCulloch Simple consistent estimators of stable distribution parameters Communications in Statistics-Simulations 15 4 1986 1109 1136
    • (1986) Communications in Statistics-Simulations , vol.15 , Issue.4 , pp. 1109-1136
    • McCulloch, J.H.1
  • 37
    • 0001646356 scopus 로고
    • Estimation in univariate and multivariate stable distribution
    • S.J. Press Estimation in univariate and multivariate stable distribution Journal of the American Statistical Association 67 340 1972 842 846
    • (1972) Journal of the American Statistical Association , vol.67 , Issue.340 , pp. 842-846
    • Press, S.J.1
  • 38
    • 0002542606 scopus 로고    scopus 로고
    • Characteristic function based estimation of stable parameters
    • R. Adler, R. Feldman, M. Taqqu, Birkhauser, Boston
    • S.M. Kogon, and D.B. Williams Characteristic function based estimation of stable parameters R. Adler, R. Feldman, M. Taqqu, A Practical Guide to Heavy Tails 1998 Birkhauser, Boston 311 335
    • (1998) A Practical Guide to Heavy Tails , pp. 311-335
    • Kogon, S.M.1    Williams, D.B.2
  • 43
    • 68949154683 scopus 로고    scopus 로고
    • Stable distributions in mathematica
    • H.R. Robert, and J.P. Nolan Stable distributions in mathematica The Mathematica Journal 9 4 2005 776 789
    • (2005) The Mathematica Journal , vol.9 , Issue.4 , pp. 776-789
    • Robert, H.R.1    Nolan, J.P.2
  • 44
    • 84866408488 scopus 로고    scopus 로고
    • V. Mark's Homepage at Boston University, US., accessed 20 September 2011
    • V. Mark's Homepage at Boston University, US. http://math.bu.edu/people/ mveillet/index.html, accessed 20 September 2011.
  • 45
    • 84866395733 scopus 로고    scopus 로고
    • J.P. Nolan's Homepage at American University, US., accessed 12 August 2011
    • J.P. Nolan's Homepage at American University, US. http://academic2. american.edu/∼jpnolan/stable/stable.html, accessed 12 August 2011.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.