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Stable Distribution of Multivariate Data

Author

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  • Phuc Ho Dang
  • Truc Giang Vo Thi

Abstract

The main theorem of the paper states that every stable random vector with marginal skewness parameters different from ±1 can be turned into a sub-Gaussian random vector by using an appropriately tailored transformation in multidimensional space. The theorem is used to create a formula on probability density function of stable random vector and to perform a procedure of testing the stable distribution of multivariate data. A dataset collected from the Nasdaq stock market is used to illustrate the proposed procedure.

Suggested Citation

  • Phuc Ho Dang & Truc Giang Vo Thi, 2023. "Stable Distribution of Multivariate Data," European Journal of Mathematics and Statistics, European Open Science, vol. 4(4), pages 48-55, July.
    • Handle: RePEc:epw:ejmath:v:4:y:2023:i:4:id:14160
    DOI: 10.24018/ejmath.2023.4.4.160
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    References listed on IDEAS

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