Gaussian copula of stable random vectors and application

DOI10.15672/HUJMS.621919MaRDI QIDQ5160582zbMATH OpenOpenAlexFDO

Authors Phuc Ho Dang, Truc Giang Vo Thi

Publication date 29 October 2021

Published in Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15672/hujms.621919

zbMATH Keywords

GPS datamultivariate density functionportfolio selectionstable distributionsstock market

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1221798 (Why is no real title available?)
• scientific article; zbMATH DE number 1301883 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• Multivariate elliptically contoured stable distributions: theory and estimation
• Simple consistent estimators of stable distribution parameters
• The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance^*
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(3)

• Perturbed Gaussian copula
• Comparison of increasing directionally convex transformations of random vectors with a common copula
• Stochastic Comparison of Random Vectors with a Common Copula

Describes a project that uses

Uses Software

• copula
• copula

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