Multivariate elliptically contoured stable distributions: theory and estimation

DOI10.1007/s00180-013-0396-7zbMath1306.65118OpenAlexW1978189606WikidataQ57452126 ScholiaQ57452126MaRDI QIDQ105039

John P. Nolan, John P. Nolan

Publication date: 30 January 2013

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-013-0396-7

zbMATH Keywords

heavy tailsstable distributionelliptical contours

Mathematics Subject Classification ID

Related Items (46)

Comments on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics ⋮ Cauchy Markov random field priors for Bayesian inversion ⋮ Pairwise distance-based heteroscedasticity test for regressions ⋮ The generalized Pitman measure of similarity and hierarchical clustering ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Fractional absolute moments of heavy tailed distributions ⋮ Smooth bootstrapping of copula functionals ⋮ Estimation of block sparsity in compressive sensing ⋮ A framework for analyzing the robustness of movement models to variable step discretization ⋮ Extracting stochastic dynamical systems with α-stable Lévy noise from data ⋮ Tests for circular symmetry of complex-valued random vectors ⋮ \(U\)-statistic for multivariate stable distributions ⋮ Tests for heteroskedasticity in transformation models ⋮ Testing for central symmetry and inference of the unknown center ⋮ Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Privacy protection with heavy-tailed noise for linear dynamical systems ⋮ Testing serial independence with functional data ⋮ Some analytical results on bivariate stable distributions with an application in operational risk ⋮ A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families ⋮ The sparse method of simulated quantiles: An application to portfolio optimization ⋮ Bayesian inversion with α-stable priors ⋮ A Cramér-Wold theorem for elliptical distributions ⋮ Domain-domain correlation functions used in off-specular scattering ⋮ A new test for heteroscedasticity in single-index models ⋮ Bivariate one-sample optimal location test for spherical stable densities by Padé' methods ⋮ Goodness-of-fit tests for multivariate skewed distributions based on the characteristic function ⋮ Testing the adequacy of semiparametric transformation models ⋮ Change-point methods for multivariate time-series: paired vectorial observations ⋮ Regression function comparison for paired data ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Rotational invariance of stochastic processes with application to fractional dynamics ⋮ Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function ⋮ Gaussian copula of stable random vectors and application ⋮ Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity ⋮ Inference for vast dimensional elliptical distributions ⋮ On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence ⋮ mvpd ⋮ Enhanced backscattering of a partially coherent field from an anisotropic random lossy medium ⋮ Approximate EM Algorithm for Sparse Estimation of Multivariate Location–Scale Mixture of Normals ⋮ An R package for modeling and simulating generalized spherical and related distributions ⋮ Tests for validity of the semiparametric heteroskedastic transformation model ⋮ The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models ⋮ Stable correlation and robust feature screening ⋮ Evaluating the adequacy of variance function using pairwise distances ⋮ Consistent model checking procedures for parametric regressions with missing response ⋮ A data-driven approach for discovering stochastic dynamical systems with non-Gaussian Lévy noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computing the nearest correlation matrix--a problem from finance
• Approximation of multidimensional stable densities
• Indirect estimation of elliptical stable distributions
• Multivariate stable densities as functions of one dimensional projections
• Tail dependence for elliptically contoured distributions
• Scintillations and interstellar Lévy flights
• Inference for vast dimensional elliptical distributions
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• A Method for Simulating Stable Random Variables

This page was built for publication: Multivariate elliptically contoured stable distributions: theory and estimation