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Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis

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Author Info

  • Pivato, Marcus
  • Seco, Luis

Abstract

A new method is developed for estimating the spectral measure of a multivariate stable probability measure, by representing the measure as a sum of spherical harmonics.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 87 (2003)
Issue (Month): 2 (November)
Pages: 219-240

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Handle: RePEc:eee:jmvana:v:87:y:2003:i:2:p:219-240

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Related research

Keywords: Stable probability distributions Infinitely divisible distributions Spectral measure Parameter estimation Spherical harmonics;

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Cited by:
  1. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
  2. Ogata, Hiroaki, 2013. "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, vol. 172(2), pages 248-254.
  3. Molchanov, Ilya, 2009. "Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2195-2213, November.
  4. 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.
  5. 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.

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