scientific article; zbMATH DE number 639817

MaRDI QIDQ4306152zbMATH OpenFDO

Authors Huang Xin, Svetlozar T. Rachev

Publication date 13 October 1994

zbMATH Keywords

domain of attractionstability indexmultivariate stable distributionalpha-stable lawtest of associationnormalized spectral measurerisk of a stable portfolio of financial assetstest for negative association

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05)

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Cited in

(19)

• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Stable modeling of value at risk
• 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
• On continuity of the Pearson statistic and sample quantiles
• Monte Carlo EM estimation for multivariate stable distributions
• Estimating stable latent factor models by indirect inference
• Financial modeling with heavy-tailed stable distributions
• Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
• Association of stable random variables
• Spectral covariance and limit theorems for random fields with infinite variance
• Estimation of stable spectral measures
• Estimation of the parameters of multivariate stable distributions
• Estimation for multivariate stable distributions with generalized empirical likelihood
• Test of association between multivariate stable vectors.
• A new multiscale Bayesian algorithm for speckle reduction in medical ultrasound images
• Wavelet-based estimation for multivariate stable laws
• Multivariate geometric stable distributions in financial applications.
• Indirect estimation of elliptical stable distributions

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