On estimation of the spectral measure of certain nonnormal operator stable laws
type: Item
instance of: scholarly article
title: On estimation of the spectral measure of certain nonnormal operator stable laws
zbMATH Open document ID: 0961.62079
DOI: 10.1016/S0167-7152(98)00277-6
published in: Statistics \& Probability Letters
publication date: 2001-06-05T00:00:00Z
review text: A multivariate stable law is parametrized by a triplet \((a, \alpha, \lambda)\) where \(a\in\mathbb{R}^d\) is a location parameter, \(0<\alpha<2\) indicates the tail thickness and \(\lambda\) is a finite Borel measure on the unit sphere; \(\lambda\) is called the spectral measure of \(\nu\) and indicates the dependence structure between the components of a multivariate stable random vector \(X\). For data belonging to the domain of normal attraction of nonormal operator stable laws a strongly consistent estimate of the spectral measure is presented.
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 1395197
zbMATH Keywords: estimation of heavy-tailed data
zbMATH Keywords: spectral measure
zbMATH Keywords: operator stable laws
author: Hans-Peter Scheffler
reviewed by: Nikolai N. Leonenko
MaRDI profile type: Publication
cites work: Q3670359
cites work: A simple general approach to inference about the tail of a distribution
cites work: Q3935939
cites work: Q4863604
cites work: Domains of attraction of nonnormal operator-stable laws
cites work: Estimation of stable spectral measures
cites work: Q4306152
cites work: Q4301585
cites work: Approximation Theorems of Mathematical Statistics
cites work: Operator-Stable Probability Distributions on Vector Groups
full work available at URL: s0167-7152(98)00277-6
OpenAlex ID: W2029939130
Wikidata QID: Q128119818
description: scientific article; zbMATH DE number 1395197