3 papers
stat.AP2016
Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling
Lev B. Klebanov, Greg Temnov, Ashot V. Kakosyan
In the present paper, we discuss contra-arguments concerning the use of Pareto-Levý distributions for modeling in Finance. It appears that such probability laws do not provide suff…
math.PR2015
An autoregressive model leading to stable distributions
Lev B. Klebanov, Gregory Temnov, Ashot Kakosyan
We construct an autoregressive model with random coefficients that has a stationary distribution after proper normalization. This limit distribution is found to be stable.
math.PR2014
Casual Stability of Some Systems of Random Variables
Lev B. Klebanov, Lenka Slámová, Ashot Kakosyan +1
Self-similarity of systems is very popular and intensively developing field during last decades. To this field belong so-called stable distributions and their generalization. In Kl…