Estimation of the parameters of multivariate stable distributions

DOI10.1080/03610918.2020.1784432MaRDI QIDQ5042175zbMATH OpenOpenAlexFDO

Authors Aastha M. Sathe, N. S. Upadhye

Publication date 18 October 2022

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

Full work available at URL https://arxiv.org/abs/1902.09796

zbMATH Keywords

applicationsmultivariate stable distributionparameter estimationsimulation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10)

Cites work

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Cited in

(18)

• Multiparameter estimation for some multivariate discrete distributions with possibly dependent components
• Stability for multivariate exponential families
• Monte Carlo EM estimation for multivariate stable distributions
• On the estimation of the parameters of multivariate stable distributions
• Stabilization of Subba Rao-Liporace models.
• Estimation in multivariate nonnormal distributions with stochastic variance function
• Metrics for multivariate stable distributions
• Estimation of parameters of a spherical invariant stable distribution
• Statistical estimation of parameters of fractionally stable distributions
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• scientific article; zbMATH DE number 1500164 (Why is no real title available?)
• scientific article; zbMATH DE number 7047712 (Why is no real title available?)
• scientific article; zbMATH DE number 6416868 (Why is no real title available?)
• Parameter Estimation of Stable Distributions
• Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
• Forecasting multidimensional autoregressive time series model with symmetric \(\alpha\)-stable noise using artificial neural networks
• Algorithmic stability of heavy-tailed stochastic gradient descent on least squares

Describes a project that uses

Uses Software

• STABLE

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