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arXiv · 1802.00612

On tails of symmetric and totally asymmetric $\alpha$-stable distributions

Witold M. Bednorz·Rafał M. Łochowski·Rafał Martynek
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Abstract

We estimate up to universal constants tails of symmetric and totally asymmetric 1-dimensional $\alpha$-stable distributions in terms of functions of the parameters of these distributions. In particular, for values of $\alpha$ close to $2$ we specify where exactly the tail changes from being Gaussian and starts to behave like in the Pareto distribution

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Witold M. Bednorz, Rafał M. Łochowski, Rafał Martynek. 2018-02-02. On tails of symmetric and totally asymmetric $\alpha$-stable distributions. https://arxiv.org/abs/1802.00612

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