Estimation of stable spectral measures

Authors
Nolan, JP Panorska, AK McCulloch, JH
Citation
Jp. Nolan et al., Estimation of stable spectral measures, MATH COMP M, 34(9-11), 2001, pp. 1113-1122
Citations number
26
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICAL AND COMPUTER MODELLING
ISSN journal
08957177 → ACNP
Volume
34
Issue
9-11
Year of publication
2001
Pages
1113 - 1122
Database
ISI
SICI code
0895-7177(200111)34:9-11<1113:EOSSM>2.0.ZU;2-4
Abstract
We present two new estimators of a stable spectral measure. One is based on the empirical characteristic function, and the other is based on one-dimen sional projections of the data. We compare these estimators with the Rachev -Xin-Cheng estimator in an empirical study. Their applications in modeling financial portfolios are also discussed. (C) 2001 Elsevier Science Ltd. All rights reserved.