Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- B. N. Cheng & S. T. Rachev, 1995. "Multivariate Stable Futures Prices," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 133-153, April.
- Davydov, Yu. & Nagaev, A. V., 2002. "On Two Aproaches to Approximation of Multidimensional Stable Laws," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 210-239, July.
- Miller, Grady, 1978. "Properties of certain symmetric stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 346-360, September.
- Pivato, Marcus & Seco, Luis, 2003. "Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 219-240, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Molchanov, Ilga & Schmutz, Michael & Stucki, Kaspar, 2012. "Invariance properties of random vectors and stochastic processes based on the zonoid concept," DES - Working Papers. Statistics and Econometrics. WS ws122014, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Karcher, Wolfgang & Shmileva, Elena & Spodarev, Evgeny, 2013. "Extrapolation of stable random fields," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 516-536.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lombardi, Marco J. & Veredas, David, 2009.
"Indirect estimation of elliptical stable distributions,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
- LOMBARDI, Marco & VEREDAS, David, 2007. "Indirect estimation of elliptical stable distributions," LIDAM Discussion Papers CORE 2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
- Todorov, Viktor, 2019. "Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 419-451.
- Ogata, Hiroaki, 2013. "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, vol. 172(2), pages 248-254.
- Matsui, Muneya & Takemura, Akimichi, 2009. "Integral representations of one-dimensional projections for multivariate stable densities," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 334-344, March.
- Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
- Kowalski, Aleksander & Rudiuk, Edmund, 2005. "Correlation in Lp-spaces," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 20-29, September.
- Tsionas, Mike G., 2016. "Bayesian analysis of multivariate stable distributions using one-dimensional projections," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 185-193.
- Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, University Library of Munich, Germany, revised 24 Mar 2006.
- Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
- Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
- Tsionas, Efthymios G., 2012. "Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1986-1989.
- Karling, Maicon J. & Lopes, Sílvia R.C. & de Souza, Roberto M., 2023. "Multivariate α-stable distributions: VAR(1) processes, measures of dependence and their estimations," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Rutkowski, Marek, 1995. "Left and right linear innovations for a multivariate S[alpha]S random variable," Statistics & Probability Letters, Elsevier, vol. 22(3), pages 175-184, February.
- Damarackas, Julius & Paulauskas, Vygantas, 2017. "Spectral covariance and limit theorems for random fields with infinite variance," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 156-175.
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Ravishanker, Nalini & Qiou, Zuqiang, 1999. "Monte Carlo EM estimation for multivariate stable distributions," Statistics & Probability Letters, Elsevier, vol. 45(4), pages 335-340, December.
- Pivato, Marcus & Seco, Luis, 2003. "Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 219-240, November.
- Mohammad Mohammadi & Adel Mohammadpour & Hiroaki Ogata, 2015. "On estimating the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(5), pages 549-561, July.
More about this item
Keywords
Convex body Generalised function Fourier transform Multivariate stable distribution Star body Spectral measure Support function Zonoid;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:10:p:2195-2213. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.