Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis
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.Download Info
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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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Related research
Keywords: Stable probability distributions Infinitely divisible distributions Spectral measure Parameter estimation Spherical harmonics;References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- 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.
- 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.
- 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.
- LOMBARDI, Marco & VEREDAS, David, 2007.
"Indirect estimation of elliptical stable distributions,"
CORE Discussion Papers
2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
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