Wavelet-based estimation for multivariate stable laws
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Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Infinitely divisible distributions; stable distributions (60E07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
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- scientific article; zbMATH DE number 1301893
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Cites work
- Approximation of multidimensional stable densities
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of stable spectral measures
- Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
- scientific article; zbMATH DE number 1639862 (Why is no real title available?)
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- scientific article; zbMATH DE number 1301885 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 639817 (Why is no real title available?)
- scientific article; zbMATH DE number 1470722 (Why is no real title available?)
- scientific article; zbMATH DE number 1380579 (Why is no real title available?)
- MULTIVARIATE STABLE FUTURES PRICES
- On statistical transform methods and their efficiency
- On wavelet methods for estimating smooth functions
- Parameter Estimates for Symmetric Stable Distributions
- Regression-Type Estimation of the Parameters of Stable Laws
- Simple consistent estimators of stable distribution parameters
- Some path properties of pth order and symmetric stable processes
- Stable Paretian models in finance
- Stochastic gradient algorithms for equalisation in \(\alpha\)-stable noise
- Wavelet-based estimation for univariate stable laws
- Wavelets in statistics: A review
Cited in
(5)- Multivariate wavelet Whittle estimation in long-range dependence
- Multivariate wavelet density and regression estimators for stationary and ergodic continuous time processes: asymptotic results
- Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters
- The ECF-WS estimator for univariate symmetric stable distributions with application in seismic trace signals
- Wavelet-based estimation for univariate stable laws
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