CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES
研究了重尾分布随机变量平方和的分布，推导了自由度趋于无穷时的极限分布，并通过模拟总结了有限自由度下的行为，对金融风险建模等应用有参考价值。
The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.