Estimation for multivariate stable distributions with generalized empirical likelihood

DOI10.1016/J.JECONOM.2012.08.017zbMath1443.62496OpenAlexW2045362450MaRDI QIDQ528142

Hiroaki Ogata

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002011

zbMATH Keywords

characteristic functionestimating functiongeneralized empirical likelihoodmultivariate stable distributionCR discrepancy

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (13)

The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ Estimation of the parameters of multivariate stable distributions ⋮ Bivariate sub-Gaussian model for stock index returns ⋮ \(U\)-statistic for multivariate stable distributions ⋮ Some analytical results on bivariate stable distributions with an application in operational risk ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function ⋮ Estimating stable latent factor models by indirect inference ⋮ On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions

Uses Software

• STABLE

Cites Work

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