Calculation of multidimensional stable densities

DOI10.1080/03610919508813258MaRDI QIDQ4859856zbMATH OpenOpenAlexWikidataFDO

Authors John P. Nolan, Balram S. Rajput

Publication date 15 January 1996

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919508813258

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory of statistical distributions (62E10) Probabilistic methods, stochastic differential equations (65C99)

Cites work

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Cited in

(9)

• Multivariate stable densities as functions of one dimensional projections
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Estimation of stable spectral measures
• Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
• Weak error for continuous time Markov chains related to fractional in time P(I)DEs
• Financial modeling with heavy-tailed stable distributions
• An analytical representation of bivariate isotropic stable density
• Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
• Bayesian analysis of multivariate stable distributions using one-dimensional projections

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