Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations

DOI10.1016/j.jmva.2022.105153MaRDI QIDQ2692927

Sílvia R. C. Lopes, Roberto M. de Souza, Maicon J. Karling

Publication date: 17 March 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2022.105153

zbMATH Keywords

simulations; measures of dependence; vector autoregressive processes; Bayesian techniques; codifference; multivariate \(\alpha\)-stable distributions; spectral covariance

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P10: Applications of statistics to biology and medical sciences; meta analysis

62F15: Bayesian inference

60G52: Stable stochastic processes

Uses Software

• WinBUGS
• vars
• JAGS
• astsa
• StableEstim