Estimation of stable spectral measures
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- scientific article; zbMATH DE number 724716
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Cites work
- 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?)
- 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
- MULTIVARIATE STABLE FUTURES PRICES
- Modeling asset returns with alternative stable distributions*
- Multivariate stable distributions
- 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
(43)- Spectral covariance and limit theorems for random fields with infinite variance
- Modeling chinese stock returns with stable distribution
- \(U\)-statistic for multivariate stable distributions
- Boundary regularity for fully nonlinear integro-differential equations
- Financial modeling with heavy-tailed stable distributions
- Monte Carlo EM estimation for multivariate stable distributions
- Extreme value theory with operator norming
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- Estimation of Additive Error in Mixed Spectra for Stable Processes
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Estimation for multivariate stable distributions with generalized empirical likelihood
- On estimation of the spectral measure of certain nonnormal operator stable laws
- Estimation and simulation for multivariate tempered stable distributions
- On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
- Principal component analysis for α-stable vectors
- Estimation of the bivariate stable spectral representation by the projection method
- Operator tail dependence of copulas
- AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Estimation and comparison of signed symmetric covariation coefficient and generalized association parameter for alpha-stable dependence modeling
- The G-Spectral Estimator
- Estimation of the parameters of multivariate stable distributions
- Indirect estimation of elliptical stable distributions
- On continuity of the Pearson statistic and sample quantiles
- Wavelet-based estimation for multivariate stable laws
- Parametric estimation of a bivariate stable Lévy process
- Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Forecasting multidimensional autoregressive time series model with symmetric \(\alpha\)-stable noise using artificial neural networks
- Estimation of marginal and spectral modes
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
- A new multiscale Bayesian algorithm for speckle reduction in medical ultrasound images
- Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function
- Parameterizations and modes of stable distributions
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
- Bivariate sub-Gaussian model for stock index returns
- Estimating stable latent factor models by indirect inference
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- On fundamental solutions of higher-order space-fractional Dirac equations
- Series representation of jointly \(S \alpha S\) distribution via symmetric covariations
- Some analytical results on bivariate stable distributions with an application in operational risk
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