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Rao statistical test for radar targets based on SG-Alpha stable distribution
radar target detection Rao test subGaussian-Alpha stable distribution non-Gaussian clutter
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2012/3/22
In relative non-Gaussian clutter backgrounds, one of the difficulties on radar target detection is to establish a likelihood ratio test model. Based on the SG-Alpha（subGaussian-Alpha）stable distributi...
Ruin probabilities in tough times - Part 2 - Heavy-traffic approximation for fractionally differentiated random walks in the domain of attraction of a nonGaussian stable distribution
heavy traffic ruin probability fractional random walk FARIMA process Poisson process
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2011/3/23
Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processe...
THE MODIFIED TEMPERED STABLE DISTRIBUTION, GARCH MODELS AND OPTION PRICING
Option pricing GARCH process tempered stable distribution volatility clustering
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2009/9/18
We introduce a new variant of the tempered stable distribution,
named the modified tempered stable (MTS) distribution and we develop
a GARCH option pricing model with MTS innovations. This model
al...
Lévy stable distribution and [0,2] power law dependence of acoustic absorption on frequency in various lossy media
Lévy stable distribution [0,2] power law dependence acoustic absorption various lossy media
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2010/10/22
Absorption of acoustic wave propagation in a large variety of lossy media is characterized by an empirical power law function of frequency, 0j!jy. It has long been noted that the exponent y ranges fr...