On a new Class of Tempered Stable Distributions: Moments and Regular Variation
2012 ◽
Vol 49
(4)
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pp. 1015-1035
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Keyword(s):
We extend the class of tempered stable distributions, which were first introduced in Rosiński (2007). Our new class allows for more structure and more variety of the tail behaviors. We discuss various subclasses and the relations between them. To characterize the possible tails, we give detailed results about finiteness of various moments. We also give necessary and sufficient conditions for the tails to be regularly varying. This last part allows us to characterize the domain of attraction to which a particular tempered stable distribution belongs.
2020 ◽
Vol 25
(5)
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2011 ◽
Vol 59
(4)
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pp. 575-579
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2012 ◽
Vol 20
(01)
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pp. 1-20
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2002 ◽
Vol 29
(7)
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pp. 417-425
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2021 ◽
Vol 26
(1)
◽
pp. 31-39
2009 ◽
Vol 19
(1)
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pp. 89-94
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