Search Results - subject:"Multivariate stable distributions"

Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models

Tsionas, Mike - Volkswirtschaftliche Fakultät, … - 2012

multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite location … of the likelihood function. In the context of multivariate stable distributions we propose several ways to perform … model multivariate stochastic volatility through time-varying spectral measures and a novel way to multivariate stable …

Persistent link: https://www.econbiz.de/10011258174

Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates

Tsionas, Efthymios G. - In: Statistics & Probability Letters 82 (2012) 11, pp. 1986-1989

In this paper, we consider the estimation of the tail indices of distributions in the domain of attraction of stable laws. We follow the approach of Meerschaert and Scheffler (1999), which requires exclusively the spectral decomposition of the uncentered sample moment matrix containing the...

Persistent link: https://www.econbiz.de/10010593937

A note on characterizations of multivariate stable distributions

Nguyen, Truc; Sampson, Allan - In: Annals of the Institute of Statistical Mathematics 43 (1991) 4, pp. 793-801

Persistent link: https://www.econbiz.de/10005616371