Some Properties of Symmetric Stable Di Eugene F, Fama, Richard Roll Journal of the American Statistical Association, Volume 63, Issue 323 (Sep., 1968), 817-836. Stable URL: bhtp:flinks,jstor-org/sici?sici~0162-1459%2§196809%2963%3A323%3C8 17%3ASPOSSD%3E2.0.CO%3B2-D ‘Your use of the ISTOR archive indicates your acceptance of ISTOR’s Terms and Conditions of Use, available at up: srw jstor org/aboutterms.html. ISTOR's Terms and Conditions of Use provides, in part, at unless you have obtained prior permission, you may aot download an entite issue of a journal or multiple copies of articles, and ‘you may use content in the ISTOR archive only for your personal, non-commercial use Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the sereen or pfinted page of such transmission. Journal of tte American Statistical Association is published by Ametican Statistical Association. Please contact the publisher for further permissions regarding the use of this Work. Publisher contact information may be obtained at tip ff ww, jstor-orgljoumalsvastata. heen. Journal of the American Staistical Association ©1968 American Statistical Association ISTOR and the JSTOR logo are trademarks of JSTOR, and are Registered in the U.S, Patent and Trademark Otic. For more information on ISTOR contact jstor-nfo@umnich edu, ©2002 JSTOR bup:thrww stor orgy Mon fun 3 16:38:30 2002SOME PROPERTIES OF SYMMETRIC STABLE DISTRIBUTIONS Buouwe F. Pana an Riouano Root University of Chizage and Carnapie-Mellon Unaserity ‘This poper takes 6 few steps toward alleviating problems of data analysis that arise from the fect thet elementary expressians for density and eumuletive distribution functions (o<.f’8) for most stable iseributions are usimawn. Tx section 2 results of Bergstrom (3) ere used to develop curser approximations for the o,f and the in- Verse funetions of the ed's of symmetric stable distributions. Tables of the cd's and their inverse functions are presented for twelve ‘velush of the characteristic axpenant. In section & the uanfulness of the ‘numerical e<.f's and their inveme functions in estimating the parame ters of stable distributions and testing Linear models involving stable variables is discusred. Finely, section ¢ presents « Monte Carlo study ‘of truncated means as eetimates of location, La every ease but the Gaus- Sian, some tranented mesa is shown to have smaller sarapling dkpersion than the full mess, 2. STABLE DISTRIAUTLONS! we class of symmelsic stable distributions may be defined by the log [characterise tinction, loge dtl) = von f“erarea | ee ee where (is a real number, and F is the ed.f, ‘A.symmetrie stable distribution has three parameters," a, § and y=c. The parameter o(0- 1, his results yield the convergent series,‘ ‘Be + 1 ) te) = Eo “ For a> Bergstrom also provides a finite series, whieh for u>0 is LSD Fok) 5 (trey | ay fg = — 2 ESOT (Bt Re, where the remainder Riu) = Ofu-aer-1], @) ‘That is, for some positive constant 4, Te che ales af sean, ladangun” wl may et te enorme aan whan nana tal the yan thn tanduration doen seinen ate ‘trelivasnee nan) nnn a “aaartbnd sera ante ang otk ‘etn mpertant 2 at hae Rerptrom' Ganon ft nao acted abi abl cly eave te (2) Inebamemetec eum, ors dcr se ke 0 pp. 1-108 (tn ee nonad sanardsaton