1. Estimation of the parameters of multivariate stable distributions.
- Author
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Sathe, Aastha M. and Upadhye, N. S.
- Subjects
- *
PARAMETER estimation , *MONTE Carlo method , *UNIVARIATE analysis - Abstract
In this paper, we first discuss some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid method is proposed for the estimation of the parameters of a univariate stable distribution. The proposed method is further used for the estimation of the parameters of a strictly multivariate stable distribution. The efficiency, accuracy and simplicity of the new method is shown through Monte-Carlo simulation. Finally, we apply the proposed method to the univariate and bivariate financial data. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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