On the estimation of the parameters of multivariate stable distributions

Authors
Davydov, Y Paulauskas, V
Citation
Y. Davydov et V. Paulauskas, On the estimation of the parameters of multivariate stable distributions, ACT APPL MA, 58(1-3), 1999, pp. 107-124
Citations number
9
Categorie Soggetti
Mathematics
Journal title
ACTA APPLICANDAE MATHEMATICAE
ISSN journal
01678019 → ACNP
Volume
58
Issue
1-3
Year of publication
1999
Pages
107 - 124
Database
ISI
SICI code
0167-8019(199909)58:1-3<107:OTEOTP>2.0.ZU;2-J
Abstract
In the paper, the asymptotic normality for a new estimator for the spectral measure of a multivariate stable distribution is proved. Also an estimator for the density of a multivariate stable distribution is proposed, its pro perties are investigated. The dependence of a stable density on exponent al pha and the spectral measure is investigated.