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  • Search: subject:"estimation of bivariate stable spectral representation"
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Kanter projection coefficient 1 estimation of bivariate stable spectral representation 1 foreign exchange rates 1 projection method 1
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McCulloch, J. Huston 1
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Estimation of the Bivariate Stable Spectral Representation by the Projection Method
McCulloch, J. Huston - In: Computational Economics 16 (2000) 1/2, pp. 47-62
A method of estimating the spectral representation of a generalized bivariate stable distribution is presented, based on a series of maximum likelihood (ML) estimates of the stable parameters of univariate projections of the data. The corresponding stable spectral density is obtained by solving...
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