On the Estimation of the Parameters of Multivariate Stable Distributions |
| |
Authors: | Yu. Davydov V. Paulauskas |
| |
Affiliation: | (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 |
| |
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. |
| |
Keywords: | stable laws spectral measure estimation of parameters |
本文献已被 SpringerLink 等数据库收录! |
|