Estimation of stable spectral measures
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Publication:1600530
DOI10.1016/S0895-7177(01)00119-4zbMATH Open1004.62028MaRDI QIDQ1600530FDOQ1600530
J. Huston McCulloch, Anna K. Panorska, John P. Nolan
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
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Infinitely divisible distributions; stable distributions (60E07) Nonparametric estimation (62G05) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Approximation of multidimensional stable densities
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- Calculation of multidimensional stable densities
- Tail behavior, modes and other characteristics of stable distribution
- Estimation of the bivariate stable spectral representation by the projection method
- Data analysis for heavy tailed multivariate samples
Cited In (43)
- Boundary regularity for fully nonlinear integro-differential equations
- Parametric estimation of a bivariate stable Lévy process
- On fundamental solutions of higher-order space-fractional Dirac equations
- Some analytical results on bivariate stable distributions with an application in operational risk
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- Estimation of Additive Error in Mixed Spectra for Stable Processes
- On estimation of the spectral measure of certain nonnormal operator stable laws
- Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
- Operator tail dependence of copulas
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Estimation and simulation for multivariate tempered stable distributions
- AN EMPIRICAL STUDY OF THE ASYMPTOTIC LAWS OF SOME ESTIMATORS OF GENERALIZED ASSOCIATION PARAMETER AND SIGNED SYMMETRIC COVARIATION COEFFICIENT
- On continuity of the Pearson statistic and sample quantiles
- Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
- Financial modeling with heavy-tailed stable distributions
- Monte Carlo EM estimation for multivariate stable distributions
- Estimation and Comparison of Signed Symmetric Covariation Coefficient and Generalized Association Parameter for Alpha-stable Dependence Modeling
- Estimating stable latent factor models by indirect inference
- Forecasting multidimensional autoregressive time series model with symmetric \(\alpha\)-stable noise using artificial neural networks
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function
- On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
- Parameterizations and modes of stable distributions
- Extreme value theory with operator norming
- Bivariate sub-Gaussian model for stock index returns
- \(U\)-statistic for multivariate stable distributions
- Series representation of jointly \(S \alpha S\) distribution via symmetric covariations
- Estimation of the bivariate stable spectral representation by the projection method
- Spectral covariance and limit theorems for random fields with infinite variance
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Estimation of the parameters of multivariate stable distributions
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- Modeling chinese stock returns with stable distribution
- Estimation for multivariate stable distributions with generalized empirical likelihood
- The G-Spectral Estimator
- Principal component analysis for α-stable vectors
- A new multiscale Bayesian algorithm for speckle reduction in medical ultrasound images
- Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
- Wavelet-based estimation for multivariate stable laws
- Estimation of marginal and spectral modes
- Indirect estimation of elliptical stable distributions
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
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