On the Estimation of the Parameters of Multivariate Stable Distributions

Acta Applicandae Mathematicae

Volumn 58, Issue 1-3, 1999, Pages 107-124

  Davydov, Y U ^a   Paulauskas, V ^b  

^a UNIV LILLE   (France)

^b VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Estimation of parameters; Spectral measure; Stable laws

Indexed keywords

EID: 0009939861     PISSN: 01678019     EISSN: None     Source Type: Journal    
DOI: 10.1023/a:1006350121682     Document Type: Article

References (9)

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3. Cheng, B. N. and Rachev S. T.: Multivariate stable future prices, Math. Finance 5 (1995), 133-153.
4. Davydov, Yu.: On the rate of strong convergence for convolutions, J. Math. Sci. 83(3) (1997), 393-396.
5. Davydov, Yu. and Nagaev, A. V.: Theoretical aspects of simulation of random vectors having a symmetric stable distribution, Preprint Publ. IRMA Lille, 1999.
6. Davydov, Yu., Paulauskas, V., and Račkauskas, A.: More on p-stable convex sets in Banach spaces, to appear in J. Theor. Probab. (1999).
7. Nolan, J. P.: Multivariate stable distributions: approximation, estimation, simulation and identification, in: R. Adler, R. E. Feldman and M. Taqqu (eds), A Practical Guide to Heavy Tails, Birkhäuser, Boston, 1998, pp. 509-525.
8. Petrov, V. V.: Limit Theorems of Probability Theory. Sequences of Independent Random Variables, Clarendon Press, Oxford, 1995.
9. Samorodnitsky, G. and Taqqu, M. S.: Stable Non-Gaussian Random Processes. Stochastic Models with Infinite Variance, Chapman & Hall, New York, 1994.