Test of association between multivariate stable vectors.

DOI10.1016/S0895-7177(99)00101-6zbMath1098.62534MaRDI QIDQ1596878

Ludger Rüschendorf, Stefan Mittnik, Svetlozar T. Rachev

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Operator geometric stable laws ⋮ Integral representations of one-dimensional projections for multivariate stable densities

Cites Work

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• Estimating the limit distribution of multivariate extremes
• Limit theory for multivariate sample extremes
• Modeling asset returns with alternative stable distributions^*
• Mass transhipment problems and ideal metrics
• Estimation in Univariate and Multivariate Stable Distributions
• Convergence of stochastic processes

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