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CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES

Published online by Cambridge University Press:  01 June 1998

Stefan Mittnik ,
Svetlozar T. Rachev  and
Jeong-Ryeol Kim
Stefan Mittnik
Affiliation:
University of Kiel
Svetlozar T. Rachev
Affiliation:
University of California
Jeong-Ryeol Kim
Affiliation:
Technical University of Dresden
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Abstract

The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.

Type
Research Article
Information
Econometric Theory , Volume 14 , Issue 3 , June 1998 , pp. 339 - 354
Copyright
© 1998 Cambridge University Press

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