English

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

Statistics Theory 2023-03-23 v1 Probability Computation Statistics Theory

Abstract

The paper considers the problem of calculating the distribution function of a strictly stable law at xx\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\alpha<1 this series was convergent for any xx, in the case α=1\alpha=1 the series was convergent at NN\to\infty in the domain x>1|x|>1, and in the case α>1\alpha>1 the series was asymptotic at xx\to\infty. The case α=1\alpha=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 xεNx_\varepsilon^N was obtained which determined the area of applicability of the obtained expansion. It was shown that in the domain xxεN|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 xx.

Keywords

Cite

@article{arxiv.2303.12488,
  title  = {The calculation of the distribution function of a strictly stable law at large X},
  author = {Viacheslav V. Saenko},
  journal= {arXiv preprint arXiv:2303.12488},
  year   = {2023}
}

Comments

arXiv admin note: text overlap with arXiv:2303.03016