Multivariate Stable Densities as Functions of One Dimensional Projections
The density of a generald-dimensional stable random vectorXis expressed as an integral over the sphere in dof a function of the parameters of the one dimensional projections ofX. These formulas give insight into the form of multivariate stable densities and are useful for numerical calculations. Corollaries give simplified expressions for symmetric stable and the[alpha]=1 strictly stable densities, relations among the densities in different dimensions, and values of the densities at the location parameter for all cases except the[alpha]=1, non-strictly stable ones. Expressions for the densities in the multidimensional analog of Zolotarev's (M) parameterization and a discussion of computational versions of the formulas are also given.
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Volume (Year): 67 (1998)
Issue (Month): 1 (October)
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References listed on IDEAS
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- Byczkowski, T. & Nolan, J. P. & Rajput, B., 1993. "Approximation of Multidimensional Stable Densities," Journal of Multivariate Analysis, Elsevier, vol. 46(1), pages 13-31, July.
- Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.