Estimation of stable spectral measures
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Cites work
- A method for simulating stable random vectors
- Approximation of multidimensional stable densities
- Calculation of multidimensional stable densities
- Data analysis for heavy tailed multivariate samples
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of the bivariate stable spectral representation by the projection method
- Generalized stable models for financial asset returns
- scientific article; zbMATH DE number 1639862 (Why is no real title available?)
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 1301891 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 639817 (Why is no real title available?)
- scientific article; zbMATH DE number 4197687 (Why is no real title available?)
- Modeling asset returns with alternative stable distributions*
- Multivariate stable distributions
- MULTIVARIATE STABLE FUTURES PRICES
- Numerical calculation of stable densities and distribution functions
- Parameterizations and modes of stable distributions
- Simple consistent estimators of stable distribution parameters
- Tail behavior, modes and other characteristics of stable distribution
- The theory of geometric stable distributions and its use in modeling financial data
Cited in
(44)- Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Operator tail dependence of copulas
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- \(U\)-statistic for multivariate stable distributions
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Estimating stable latent factor models by indirect inference
- Monte Carlo EM estimation for multivariate stable distributions
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- A new multiscale Bayesian algorithm for speckle reduction in medical ultrasound images
- On estimation of the spectral measure of certain nonnormal operator stable laws
- Series representation of jointly S S distribution via symmetric covariations
- Bivariate sub-Gaussian model for stock index returns
- On estimating the tail index and the spectral measure of multivariate -stable distributions
- Spectral covariance and limit theorems for random fields with infinite variance
- Extreme value theory with operator norming
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Boundary regularity for fully nonlinear integro-differential equations
- Estimation and simulation for multivariate tempered stable distributions
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- Parameterizations and modes of stable distributions
- Estimation of marginal and spectral modes
- Estimation of Additive Error in Mixed Spectra for Stable Processes
- Principal component analysis for α-stable vectors
- Estimation of the parameters of multivariate stable distributions
- Some analytical results on bivariate stable distributions with an application in operational risk
- Estimation and comparison of signed symmetric covariation coefficient and generalized association parameter for alpha-stable dependence modeling
- The G-Spectral Estimator
- Wavelet-based estimation for multivariate stable laws
- Estimation for multivariate stable distributions with generalized empirical likelihood
- AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
- Estimation of the bivariate stable spectral representation by the projection method
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
- Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function
- Modeling chinese stock returns with stable distribution
- On fundamental solutions of higher-order space-fractional Dirac equations
- Forecasting multidimensional autoregressive time series model with symmetric \(\alpha\)-stable noise using artificial neural networks
- Financial modeling with heavy-tailed stable distributions
- Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data
- Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
- Parametric estimation of a bivariate stable Lévy process
- On continuity of the Pearson statistic and sample quantiles
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Indirect estimation of elliptical stable distributions
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