Gaussian copula of stable random vectors and application

DOI10.15672/hujms.621919zbMath1499.62162OpenAlexW3015886968MaRDI QIDQ5160582

Truc Giang Vo Thi, Phuc Ho Dang

Publication date: 29 October 2021

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hujms.621919

zbMATH Keywords

stock marketstable distributionsportfolio selectionGPS datamultivariate density function

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Uses Software

• copula
• copula

Cites Work

• Multivariate elliptically contoured stable distributions: theory and estimation
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• Simple consistent estimators of stable distribution parameters
• The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance^*
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