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Title:

Fractional calculus approach to the statistical characterization of random variables and vectors

Document type:
Zeitschriftenaufsatz
Author(s):
Cottone, D. ; Paola, M.D. ; Metzler, R.
Abstract:
Fractional moments have been investigated by many authors to represent the density of univariate and bivariate random variables in different contexts. Fractional moments are indeed important when the density of the random variable has inverse power-law tails and, consequently, it lacks integer order moments. In this paper, starting from the Mellin transform of the characteristic function and by fractional calculus method we present a new perspective on the statistics of random variables. Introdu...     »
Keywords:
Fractional and complex moments; Multivariate distributions; Power-law tails; Inverse Mellin transform
Dewey Decimal Classification:
620 Ingenieurwissenschaften
Journal title:
Physica A: Statistical Mechanics and its Applications
Year:
2010
Journal volume:
389
Journal issue:
5
Pages contribution:
909–920
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:doi:10.1016/j.physa.2009.11.018
WWW:
http://www.sciencedirect.com/science/article/pii/S0378437109009285
Publisher:
Elsevier
TUM Institution:
FG Risikoanalyse und Zuverlässigkeit
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