On estimation of the spectral measure of certain nonnormal operator stable laws (Q1962234)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On estimation of the spectral measure of certain nonnormal operator stable laws |
scientific article |
Statements
On estimation of the spectral measure of certain nonnormal operator stable laws (English)
0 references
5 June 2001
0 references
A multivariate stable law is parametrized by a triplet \((a, \alpha, \lambda)\) where \(a\in\mathbb{R}^d\) is a location parameter, \(0<\alpha<2\) indicates the tail thickness and \(\lambda\) is a finite Borel measure on the unit sphere; \(\lambda\) is called the spectral measure of \(\nu\) and indicates the dependence structure between the components of a multivariate stable random vector \(X\). For data belonging to the domain of normal attraction of nonormal operator stable laws a strongly consistent estimate of the spectral measure is presented.
0 references
estimation of heavy-tailed data
0 references
spectral measure
0 references
operator stable laws
0 references