On two approaches to approximation of multidimensional stable laws

DOI10.1006/JMVA.2001.2014zbMATH Open1023.60022OpenAlexW2049178941MaRDI QIDQ697476FDOQ697476

Yu. Davydov, Alexander V. Nagaev

Publication date: 17 September 2002

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

Full work available at URL: https://doi.org/10.1006/jmva.2001.2014

zbMATH Keywords

spectral measureseries representationconvergence in variationmultivariate stableProkhorov distance

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Monte Carlo methods (65C05)

Cites Work

• A Method for Simulating Stable Random Variables
• Approximation of multidimensional stable densities
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• Convergence to stable laws and the modeling of them
• Convergence to a stable distribution via order statistics
• Expansions for the Density of the Absolute Value of a Strictly Stable Vector
• On the estimation of the parameters of multivariate stable distributions
• A method for simulating stable random vectors
• A limit theorem for sums of independent, nonidentically distributed random variables
• On the rate of strong convergence for convolutions
• Generating non- normal stable variates using limit theorem properties
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Cited In (10)

• Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
• Non-integrable stable approximation by Stein's method
• Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
• A robust \(\alpha \)-stable central limit theorem under sublinear expectation without integrability condition
• Estimation of the bivariate stable spectral representation by the projection method
• Approximation to stable law by the Lindeberg principle
• Multivariate stable approximation by Stein's method
• Integral representations of one-dimensional projections for multivariate stable densities
• Approximation of multidimensional stable densities
• Approximation of stable law in Wasserstein-1 distance by Stein's method

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