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arXiv · 2303.12488

The calculation of the distribution function of a strictly stable law at large X

Viacheslav V. Saenko
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Abstract

The paper considers the problem of calculating the distribution function of a strictly stable law at $x\to\infty$. To solve this problem, an expansion of the distribution function in a power series was obtained, and an estimate of the remainder term was also obtained. It was shown that in the case $α<1$ this series was convergent for any $x$, in the case $α=1$ the series was convergent at $N\to\infty$ in the domain $|x|>1$, and in the case $α>1$ the series was asymptotic at $x\to\infty$. The case $α=1$ was considered separately and it was demonstrated that in that case the series converges to the generalized Cauchy distribution. An estimate for the threshold coordinate $x_\varepsilon^N$ was obtained which determined the area of applicability of the obtained expansion. It was shown that in the domain $|x|\geqslant x_\varepsilon^N$ this power series could be used to calculate the distribution function, which completely solved the problem of calculating the distribution function at large $x$.

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Viacheslav V. Saenko. 2023-03-22. The calculation of the distribution function of a strictly stable law at large X. https://arxiv.org/abs/2303.12488

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