A new representation for the characteristic function of strictly geo-stable vectors

Authors
Klebanov, LB Mittnik, S Rachev, ST Volkovich, VE
Citation
Lb. Klebanov et al., A new representation for the characteristic function of strictly geo-stable vectors, J APPL PROB, 37(4), 2000, pp. 1137-1142
Citations number
8
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF APPLIED PROBABILITY
ISSN journal
00219002 → ACNP
Volume
37
Issue
4
Year of publication
2000
Pages
1137 - 1142
Database
ISI
SICI code
0021-9002(200012)37:4<1137:ANRFTC>2.0.ZU;2-H
Abstract
A new representation for the characteristic function of the multivariate st rictly geo-stable distribution is presented. The representation is appealin g from a parametric viewpoint: its parameters have an intuitive probabilist ic interpretation; and it is particularly useful for estimating the paramet ers of the gee-stable distribution.