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Multivariate elliptically contoured stable distributions: theory and estimation

Citations

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Cited by:

  1. Sajti, Szilárd, 2023. "Domain-domain correlation functions used in off-specular scattering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
  2. John P. Nolan, 2016. "An R package for modeling and simulating generalized spherical and related distributions," Journal of Statistical Distributions and Applications, Springer, vol. 3(1), pages 1-11, December.
  3. Denis Belomestny & Leonid Iosipoi, 2019. "Fourier transform MCMC, heavy tailed distributions and geometric ergodicity," Papers 1909.00698, arXiv.org, revised Dec 2019.
  4. Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
  5. Chen, Feifei & Meintanis, Simos G. & Zhu, Lixing, 2019. "On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 125-144.
  6. Fraiman, Ricardo & Moreno, Leonardo & Ransford, Thomas, 2023. "A Cramér–Wold theorem for elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
  7. Serena Arima & Shaho Zarei, 2024. "Robust Bayesian small area estimation using the sub-Gaussian $$\alpha$$ α -stable distribution for measurement error in covariates," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(4), pages 777-799, December.
  8. Niels Wesselhöfft & Wolfgang K. Härdle, 2020. "Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 801-826, March.
  9. Belomestny, Denis & Iosipoi, Leonid, 2021. "Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 351-363.
  10. Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
    • Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
  11. Zdeněk Hlávka & Marie Hušková & Simos G. Meintanis, 2021. "Testing serial independence with functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 603-629, September.
  12. Audrius Kabašinskas & Leonidas Sakalauskas & Ingrida Vaičiulytė, 2021. "An Analytical EM Algorithm for Sub-Gaussian Vectors," Mathematics, MDPI, vol. 9(9), pages 1-20, April.
  13. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
  14. Roman Rodriguez-Aguilar & Jose Antonio Marmolejo-Saucedo & Brenda Retana-Blanco, 2019. "Prices of Mexican Wholesale Electricity Market: An Application of Alpha-Stable Regression," Sustainability, MDPI, vol. 11(11), pages 1-14, June.
  15. M. Dolores Jiménez-Gamero & Sangyeol Lee & Simos G. Meintanis, 2020. "Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(3), pages 682-703, September.
  16. Zdeněk Hlávka & Marie Hušková & Simos G. Meintanis, 2020. "Change-point methods for multivariate time-series: paired vectorial observations," Statistical Papers, Springer, vol. 61(4), pages 1351-1383, August.
  17. Simos G. Meintanis, 2020. "Comments on: Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(4), pages 898-902, December.
  18. Hušková, Marie & Meintanis, Simos G. & Pretorius, Charl, 2020. "Tests for validity of the semiparametric heteroskedastic transformation model," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
  19. Dai, Xinjie & Niu, Cuizhen & Guo, Xu, 2018. "Testing for central symmetry and inference of the unknown center," Computational Statistics & Data Analysis, Elsevier, vol. 127(C), pages 15-31.
  20. Chen, Feifei & Jiménez–Gamero, M. Dolores & Meintanis, Simos & Zhu, Lixing, 2022. "A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
  21. Krzyśko Mirosław & Smaga Łukasz, 2020. "Measuring and Testing Mutual Dependence of Multivariate Functional Data," Statistics in Transition New Series, Statistics Poland, vol. 21(3), pages 21-37, September.
  22. J. S. Allison & M. Hušková & S. G. Meintanis, 2018. "Testing the adequacy of semiparametric transformation models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 70-94, March.
  23. Norbert Henze & Pierre Lafaye De Micheaux & Simos G. Meintanis, 2022. "Tests for circular symmetry of complex-valued random vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(2), pages 488-518, June.
  24. Stolfi, Paola & Bernardi, Mauro & Petrella, Lea, 2025. "Sparse simulation-based estimator built on quantiles," Econometrics and Statistics, Elsevier, vol. 34(C), pages 32-43.
  25. Meintanis, Simos G. & Ngatchou-Wandji, Joseph & Taufer, Emanuele, 2015. "Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 171-192.
  26. Marie Hušková & Simos G. Meintanis & Charl Pretorius, 2022. "Tests for heteroskedasticity in transformation models," Statistical Papers, Springer, vol. 63(4), pages 1013-1049, August.
  27. Barone, P., 2016. "Bivariate one-sample optimal location test for spherical stable densities by Pade’ methods," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 189-199.
  28. Simos G. Meintanis & John P. Nolan & Charl Pretorius, 2024. "Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 33(2), pages 517-539, June.
  29. Mirosław Krzyśko & Łukasz Smaga, 2020. "Measuring and Testing Mutual Dependence of Multivariate Functional Data," Statistics in Transition New Series, Polish Statistical Association, vol. 21(3), pages 21-37, September.
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