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Multivariate stable distributions

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  • Press, S. J.

Abstract

This paper is devoted to the theory and application of multidimensional stable distributions. Properties of these laws are developed and explicit algebraic representations are given in terms of characteristic functions. Symmetric and asymmetric laws and their properties are studied separately. A measure of association for variables following a symmetric bivariate stable distribution is provided and its properties are shown to be analogous to those of the ordinary correlation coefficient. Examples are given, and the class of symmetric multivariate stable distributions is applied to a problem in portfolio analysis.

Suggested Citation

  • Press, S. J., 1972. "Multivariate stable distributions," Journal of Multivariate Analysis, Elsevier, vol. 2(4), pages 444-462, December.
    • Handle: RePEc:eee:jmvana:v:2:y:1972:i:4:p:444-462
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