2 citations · 3 across the 6 of their papers we have counts for
8 papers
On an arithmetical property of moments and cumulants
Ashot V. Kakosyan, Lev B. Klebanov
The main result of the paper is the following. Let a non-degenerate distribution have finite moments of all orders . Then the sequence $\{μ_k/k!, \; k=0,1,2,\…
Inequalities for m-Divisible Distributions and Testing of Infinite Divisibility
Lev B. Klebanov, Ashot V. Kakosyan, Irina V. Volchenkova
We state some inequalities for m-divisible and infinite divisible characteristic functions. Basing on them we propose a statistical test for a distribution to be infinitely divisib…
Outliers and related problems
Lev B. Klebanov, Jaromir Antoch, Andrea Karlova +1
We define outliers as a set of observations which contradicts the proposed mathematical (statistical) model and we discuss the frequently observed types of the outliers. Further we…
Outliers, the Law of Large Numbers, Index of Stability and Heavy Tails
Lev B. Klebanov, Ashot V. Kakosyan, Andrea Karlova
We are trying to give a mathematically correct definition of outliers. Our approach is based on the distance between two last order statistics and appears to be connected to the la…
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…
On a characterization of infinitely divisible distributions with Gaussian component
Lev B. Klebanov, Irina V. Volchenkova, Ashot V. Kakosyan
We give a necessary and sufficient condition for symmetric infinitely divisible distribution to have Gaussian component. The result can be applied to approximation the distribution…
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.
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…