On the Estimation of the Parameters of Multivariate Stable Distributions |
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| Authors: | Yu Davydov V Paulauskas |
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| Institution: | (1) Laboratoire de Statistique et Probabilités, Université des Sciences et Technologies de Lille, F-59655 Villeneuve d"Ascq, France. e-mail;(2) Department of Mathematics and Informatics, Vilnius University, Naugarduko 24, LT-2006 Vilnius, and;(3) Institute of Mathematics and Informatics, Akademijos 4, LT-2600 Vilnius, Lithuania. e-mail |
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| 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 properties are investigated. The dependence of a stable density on exponent  and the spectral measure is investigated. |
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| Keywords: | stable laws spectral measure estimation of parameters |
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