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Some Properties of Symmetric Stable Distributions

Eugene F. Fama and Richard Roll
Journal of the American Statistical Association
Vol. 63, No. 323 (Sep., 1968), pp. 817-836
DOI: 10.2307/2283875
Stable URL: http://www.jstor.org/stable/2283875
Page Count: 20
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Some Properties of Symmetric Stable Distributions
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Abstract

This paper takes a few steps toward alleviating problems of data analysis that arise from the fact that elementary expressions for density and cumulative distribution functions (c.d.f.'s) for most stable distributions are unknown. In section 2 results of Bergstrom [3] are used to develop numerical approximations for the c.d.f.'s and the inverse functions of the c.d.f.'s of symmetric stable distributions. Tables of the c.d.f.'s and their inverse functions are presented for twelve values of the characteristic exponent. In section 3 the usefulness of the numerical c.d.f.'s and their inverse functions in estimating the parameters of stable distributions and testing linear models involving stable variables is discussed. Finally, section 4 presents a Monte Carlo study of truncated means as estimates of location. In every case but the Gaussian, some truncated mean is shown to have smaller sampling dispersion than the full mean.

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