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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
Fractional and complex moments; Multivariate distributions; Power-law tails; Inverse Mellin transform
Dewey Dezimalklassifikation:
620 Ingenieurwissenschaften
Zeitschriftentitel:
Physica A: Statistical Mechanics and its Applications
Jahr:
2010
Band / Volume:
389
Heft / Issue:
5
Seitenangaben Beitrag:
909–920
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:doi:10.1016/j.physa.2009.11.018
WWW:
http://www.sciencedirect.com/science/article/pii/S0378437109009285
Verlag / Institution:
Elsevier
TUM Einrichtung:
FG Risikoanalyse und Zuverlässigkeit
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