On nonparametric estimation of the Poisson spectral measure of a stable law

DOI10.1023/A:1011324111431MaRDI QIDQ1600643zbMATHOpenAlexFDO

Authors Alexander V. Nagaev

Publication date 16 June 2002

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1011324111431

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52)

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• On estimation of the spectral measure of certain nonnormal operator stable laws
• Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates

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