Log in

Estimation of the Tail of Probability Distribution Through its Characteristic Function

  • Published:
Journal of Mathematical Sciences Aims and scope Submit manuscript

A method for estimation of a probability distribution tail in terms of characteristic function is given.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Subscribe and save

Springer+ Basic
EUR 32.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or Ebook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Price includes VAT (Germany)

Instant access to the full article PDF.

Similar content being viewed by others

References

  1. Y. S. Kim, S. T. Rachev, D. M. Chung, and M. L. Bianchi, “The modified tempered stable distribution, GARCH models and option pricing,” Probab. Math. Statist., 29, 91–117 (2009).

  2. L. B. Klebanov and L. Slámová, “Integer valued stable random variables,” Statist. Probab. Letters 83, No. 6, 1513–1519 (2013).

    Article  MathSciNet  MATH  Google Scholar 

  3. L. B. Klebanov, T. J. Kozubowski, and S. T. Rachev, Ill-Posed Problems in Probability and Stability of Random Sums, Nova Science Publishers, Inc., New York (2006).

    MATH  Google Scholar 

  4. Yu. V. Linnik, Decompositions of Probability Laws [in Russian], Leningrad (1960).

  5. Yu. V. Linnik and I. V. Ostrovski˘ı, Decompositions of Random Variables and Vectors [in Russian], Moscow (1972).

  6. R. Paley and N. Wiener, Fourier Transforms in the Complex Domain, AMS Coll. Publ. XIX, New York (1934).

  7. D. Polya, “Remarks on characteristic functions,” in: Proc. of the Berkeley Symp. on Math. Statist. and Probab., Berkeley (1949), pp. 115–123.

  8. N. A. Sapogov, “The problem of stability of a uniqueness theorem of a characteristic function that is analytic in the neighborhood of the origin t = 0,” in: Problems of stability of stochastic models, Moscow (1980), pp. 88–94.

  9. V. M. Zolotarev, One-dimensional Stable Distributions [in Russian], Nauka, Moscow (1983).

    MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to A. Karlová.

Additional information

Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 454, 2016, pp. 176–182.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Karlová, A., Klebanov, L.B. Estimation of the Tail of Probability Distribution Through its Characteristic Function. J Math Sci 229, 714–718 (2018). https://doi.org/10.1007/s10958-018-3710-7

Download citation

  • Received:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10958-018-3710-7

Navigation